Related papers: Robust Equilibrium Strategy for Mean-Variance Port…
This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices and partly unobservable side information, which is often…
In the framework of finite games in extensive form with perfect information and strict preferences, this paper introduces a new equilibrium concept: the Perfect Prediction Equilibrium (PPE). In the Nash paradigm, rational players consider…
We study equilibrium concepts in non-cooperative games under uncertainty where both beliefs and mixed strategies are represented by non-additive measures (capacities). In contrast to the classical Nash framework based on additive…
Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a robust framework for dynamic minimum-variance hedging that…
This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma…
This paper builds on the work of Degond, Herty and Liu by considering N-player stochastic differential games. The control corresponding to a Nash equilibrium of such a game is approximated through model predictive control (MPC) techniques.…
Mean-reverting assets are one of the holy grails of financial markets: if such assets existed, they would provide trivially profitable investment strategies for any investor able to trade them, thanks to the knowledge that such assets…
In this paper, we investigate the robustness of stationary mean-field equilibria in the presence of model uncertainties, specifically focusing on infinite-horizon discounted cost functions. To achieve this, we initially establish…
In this paper, we examine the long-run behavior of regularized, no-regret learning in finite games. A well-known result in the field states that the empirical frequencies of no-regret play converge to the game's set of coarse correlated…
To investigate a time-consistent optimal strategy for the continuous time mean-variance model, we develop a new method to establish the Bellman principle. Based on this new method, we obtain a time-consistent dynamic optimal strategy that…
Advanced Persistent Threats (APTs) have recently emerged as a significant security challenge for a cyber-physical system due to their stealthy, dynamic and adaptive nature. Proactive dynamic defenses provide a strategic and holistic…
This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through two backward stochastic differential equations (BSDEs) with…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…
In this paper, an optimization problem with uncertain constraint coefficients is considered. Possibility theory is used to model the uncertainty. Namely, a joint possibility distribution in constraint coefficient realizations, called…
This paper concerns portfolio selection with multiple assets under rough covariance matrix. We investigate the continuous-time Markowitz mean-variance problem for a multivariate class of affine and quadratic Volterra models. In this…
This paper addresses the continuous-time portfolio selection problem under generalized disappointment aversion (GDA). The implicit definition of the certainty equivalent within GDA preferences introduces time inconsistency to this problem.…
In this paper we formulate and solve a mean-field game described by a linear stochastic dynamics and a quadratic or exponential-quadratic cost functional for each generic player. The optimal strategies for the players are given explicitly…
We introduce an infinite-horizon, continuous-time portfolio selection problem faced by an agent with periodic S-shaped preference and present bias. The inclusion of a quasi-hyperbolic discount function leads to time-inconsistency and we…