相关论文: Competition in Fund Management and Forward Relativ…

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…

We establish a Nash equilibrium in a market with $ N $ agents with the performance criteria of relative wealth level when the market return is unobservable. Each investor has a random prior belief on the return rate of the risky asset. The…

The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…

We study a game between liquidity provider and liquidity taker agents interacting in an over-the-counter market, for which the typical example is foreign exchange. We show how a suitable design of parameterized families of reward functions…

In this paper, we consider a risk-averse control problem for diffusion processes, in which there is a partition of the admissible control strategy into two decision-making groups (namely, the {\it leader} and {\it follower}) with different…

This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion factor process. The…

This paper studies the n-player game and the mean field game under the CRRA relative performance on terminal wealth, in which the interaction occurs by peer competition. In the model with n agents, the price dynamics of underlying risky…

We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The financial market is also…

In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal problem) and the maximization/minimization of investment…

We consider an augmented version of Merton's portfolio choice problem, where trading by large investors influences the price of underlying financial asset leading to strategic interaction among investors, with investors deciding their…

This paper studies a stochastic utility maximization game under relative performance concerns in finite agent and infinite agent settings, where a continuum of agents interact through a graphon (see definition below). We consider an…

This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk-adjusted performance measures-such as the Sharpe ratio,…

We study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final…

We consider a portfolio allocation problem for trend following (TF) strategies on multiple correlated assets. Under simplifying assumptions of a Gaussian market and linear TF strategies, we derive analytical formulas for the mean and…

We investigate the effects of competition in a problem of resource extraction from a common source with diffusive dynamics. In the symmetric version with identical extraction rates we prove the existence of a Nash equilibrium where the…

We study mean field portfolio games with random market parameters, where each player is concerned with not only her own wealth but also relative performance to her competitors. We use the martingale optimality principle approach to…

The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…

This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some external stochastic factors. The portfolio performance is…

This paper introduces Inverse Distributionally Robust Optimization (I-DRO) as a method to infer the conservativeness level of a decision-maker, represented by the size of a Wasserstein metric-based ambiguity set, from the optimal decisions…

We consider the non-adapted version of a simple problem of portfolio optimization in a financial market that results from the presence of insider information. We analyze it via anticipating stochastic calculus and compare the results…