A two-player portfolio tracking game

DOI10.1007/s11579-022-00324-6zbMath1496.91080arXiv1911.05122OpenAlexW4287921814MaRDI QIDQ2675370

Moritz Voß

Publication date: 23 September 2022

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.05122

zbMATH Keywords

Nash equilibriumstochastic differential gameilliquid marketsportfolio trackingpredatory trading

Mathematics Subject Classification ID

Applications of game theory (91A80) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

Related Items (2)

Closed‐loop Nash competition for liquidity ⋮ Optimal Execution: A Review

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