A two-player portfolio tracking game
From MaRDI portal
Publication:2675370
DOI10.1007/s11579-022-00324-6zbMath1496.91080arXiv1911.05122OpenAlexW4287921814MaRDI QIDQ2675370
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
Applications of game theory (91A80) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
Related Items (2)
Cites Work
- Unnamed Item
- Hedging with temporary price impact
- Mean field game of controls and an application to trade crowding
- Asymptotic lower bounds for optimal tracking: a linear programming approach
- Curve following in illiquid markets
- An FBSDE approach to market impact games with stochastic parameters
- A Closed-Form Execution Strategy to Target Volume Weighted Average Price
- When to Cross the Spread? Trading in Two-Sided Limit Order Books
- THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
- Mean-Field Leader-Follower Games with Terminal State Constraint
- High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact
- Optimal Trading with Stochastic Liquidity and Volatility
- A Mean Field Game of Optimal Portfolio Liquidation
- A Market Impact Game Under Transient Price Impact
- A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION
- Mean-Field Game Strategies for Optimal Execution
- Mean‐field games with differing beliefs for algorithmic trading
- Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
This page was built for publication: A two-player portfolio tracking game