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This article presents an equilibrium-based multi-agent optimal consumption and portfolio problem incorporating sentiments, where multiple agents have heterogeneous (optimistic, pessimistic, neutral) views on fundamental risks represented by Brownian motions.Each agent maximizes its expected...
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This paper considers a multi-agent optimal investment problem with conservative sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative sentiments of the agents by a sup-inf/inf-sup problem where we take infimum on a choice of a probability measure and...
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