Related papers: Partial Information in a Mean-Variance Portfolio S…
We address Nash equilibrium problems in a partial-decision information scenario, where each agent can only exchange information with some neighbors, while its cost function possibly depends on the strategies of all agents. We characterize…
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time \tau is modelled as the first time a stochastic process hits a random barrier L. The insider…
Optimization methods are used to determine equilibria of investment in cryptocurrencies. The basic assumptions involve existence of a core group (the "wealthy") that fears the loss of substantial assets through government seizure.…
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the…
We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form…
In their seminal work, Nayyar et al. (2013) showed that imperfect information can be abstracted away from common-payoff games by having players publicly announce their policies as they play. This insight underpins sound solvers and…
We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchange where trades have instantaneous and transient price impact…
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact…
We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand,…
We study interactions with uncertainty about demand sensitivity. In our solution concept (1) firms choose seemingly-optimal strategies given the level of sophistication of their data analytics, and (2) the levels of sophistication form best…
We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite-state Markov chain, the intensity of which can also be…
Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…
In this paper, we consider the problem of finding a Nash equilibrium in a multi-player game over generally connected networks. This model differs from a conventional setting in that players have partial information on the actions of their…
We provide an in-depth study of Nash equilibria in multi-objective normal form games (MONFGs), i.e., normal form games with vectorial payoffs. Taking a utility-based approach, we assume that each player's utility can be modelled with a…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time…
The classical mean-variance portfolio selection problem induces time-inconsistent (precommited) strategies (see Zhou and Li (2000)). To overcome this time-inconsistency, Basak and Chabakauri (2010) introduce the game theoretical approach…
We consider a class of two-player dynamic stochastic nonzero-sum games where the state transition and observation equations are linear, and the primitive random variables are Gaussian. Each controller acquires possibly different dynamic…
Financial firms and institutional investors are routinely evaluated based on their performance relative to their peers. These relative performance concerns significantly influence risk-taking behavior and market dynamics. While the…