Market Influence of Portfolio Optimizers

DOI10.1080/13504860701269285zbMath1134.91453OpenAlexW2051663193MaRDI QIDQ3502200

Suhas Nayak, George S. Papanicolaou

Publication date: 22 May 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860701269285

zbMATH Keywords

Hamilton-Jacobi-Bellman equationfeedbackportfolio optimization

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

Related Items (3)

A Feedback Model for the Financialization of Commodity Markets ⋮ Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM

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• On Feedback Effects from Hedging Derivatives
• A Microeconomic Approach to Diffusion Models For Stock Prices
• Option pricing for large agents
• The Feedback Effect of Hedging in Illiquid Markets
• General Black-Scholes models accounting for increased market volatility from hedging strategies

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