On the strategic behavior of large investors: a mean-variance portfolio approach

DOI10.1016/j.ejor.2016.04.026zbMath1346.91222OpenAlexW2343485380MaRDI QIDQ323400

Lorenzo Reus, Marcelo J. Villena

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.04.026

zbMATH Keywords

investment analysisNash equilibriumstrategic behaviorlarge investorsMarkowitz portfolio allocation

Mathematics Subject Classification ID

Applications of game theory (91A80) Portfolio theory (91G10)

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Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach ⋮ Non-zero-sum stochastic differential reinsurance and investment games with default risk

Cites Work

• Optimal consumption choices for a `large' investor
• Liquidity risk and arbitrage pricing theory
• Martingales and arbitage in securities markets with transaction costs
• Strategic behavior in financial markets
• A model of optimal portfolio selection under liquidity risk and price impact
• 60 years of portfolio optimization: practical challenges and current trends
• Strategic Behavior in Multiple-Period Financial Markets
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• Portfolio Selection with Transaction Costs

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