A Mean Field Game of Optimal Portfolio Liquidation
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Publication:5026436
DOI10.1287/moor.2020.1094zbMath1483.91215arXiv1804.04911OpenAlexW3128871226MaRDI QIDQ5026436
Guanxing Fu, Ulrich Horst, Alexandre Popier, Paulwin Graewe
Publication date: 8 February 2022
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.04911
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)
Related Items (16)
Extended Mean Field Games with Singular Controls ⋮ A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption ⋮ Equilibrium price formation with a major player and its mean field limit ⋮ Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium ⋮ A two-player portfolio tracking game ⋮ A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets ⋮ Portfolio liquidation games with self‐exciting order flow ⋮ Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations ⋮ Trading with the crowd ⋮ Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations ⋮ The entry and exit game in the electricity markets: a mean-field game approach ⋮ Price formation and optimal trading in intraday electricity markets ⋮ Mean field portfolio games ⋮ A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition ⋮ Portfolio liquidation under factor uncertainty ⋮ Optimal Execution: A Review
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