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Learning Equilibrium Mean-Variance Strategy
Dai, Min; Dong, Yuchao; Jia, Yanwei - 2021
We study a dynamic mean-variance portfolio optimization problem under the reinforcement learning framework, where an entropy regularizer is introduced to induce exploration. Due to the time-inconsistency involved in a mean-variance criterion, we aim to learn an equilibrium strategy. Under an...
Persistent link: https://www.econbiz.de/10013240451
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Red-blooded risk : the secret history of Wall Street
Brown, Aaron - 2012
Persistent link: https://www.econbiz.de/10009427753
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Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Wang, Ning; Zhang, Nan; Zhuo, Jin; Qian, Linyi - In: Insurance / Mathematics & economics 96 (2021), pp. 168-184
Persistent link: https://www.econbiz.de/10012482845
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Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall
Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Journal of the Operational Research Society 72 (2021) 3, pp. 628-641
Persistent link: https://www.econbiz.de/10012500976
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Red-Blooded Risk : The Secret History of Wall Street
Brown, Aaron - 2011 - 1st ed.
-- Principle VI: Superposition -- Principle VII: Game Theory -- Chapter 4: The Secret History of Wall Street: 1654-1982 -- Pascal … -- Chapter 5: When Harry Met Kelly -- Kelly -- Harry -- Commodity Futures -- If Harry Knew Kelly -- Investment Growth Theory … Money: The Future -- Farmers and Millers -- Money, New and Improved -- A General Theory of Money -- Value and Money …
Persistent link: https://www.econbiz.de/10012688591
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Mean-Variance Portfolio Selection with Partial Information : A Game-theoretic Formulation
Li, Lin; Liu, Ke; Gu, Jia-Wen - 2022
This paper studies the mean-variance portfolio selection under the assumption that the market state is modulated by a hidden Markov chain which is unobservable to investors. We employ a game-theoretic formulation to address the time-inconsistency arising in mean-variance analysis for portfolio...
Persistent link: https://www.econbiz.de/10013405557
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Closed-Loop Nash Competition for Liquidity
Micheli, Alessandro; Muhle-Karbe, Johannes; Neuman, Eyal - 2021
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium exists if the price impact parameter is small enough....
Persistent link: https://www.econbiz.de/10013312176
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Recursive Method for Guaranteed Valuation of Options in Deterministic Game Theoretic Approach
Chigodaev, Alexander - 2016
We adapt a deterministic game theoretic framework in discrete time to super-hedge pricing contingent claims (CCs). The key aspect of this framework is that the worst-case scenario dictates the super-hedging price which protects counter-parties in financial contracts from insolvencies. A general...
Persistent link: https://www.econbiz.de/10012995827
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Solving Maxmin Optimization Problems via Population Games
Balter, Anne; Schumacher, Johannes M.; Schweizer, Nikolaus - 2022
of population games as studied in evolutionary game theory. Consequently, evolutionary dynamics that have been designed …
Persistent link: https://www.econbiz.de/10014235483
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Strategic Mutual Fund Tournaments
Chen, Joseph - 2018
This paper characterizes the optimal risk-taking strategies of mutual fund managers competing in multi-period winner-take-all tournaments. With competition among mutual funds, every fund begins by taking maximum risk. In the final period, all funds continue to take maximum risk except possibly...
Persistent link: https://www.econbiz.de/10012940253