Equilibrium multi-agent model with heterogeneous views on fundamental risks
From MaRDI portal
Publication:6192948
DOI10.1016/j.automatica.2023.111415OpenAlexW4388817411MaRDI QIDQ6192948
Keisuke Kizaki, Akihiko Takahashi, Taiga Saito
Publication date: 13 February 2024
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2023.111415
Cites Work
- Unnamed Item
- Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
- An asymptotic expansion scheme for optimal investment problems
- Optimal portfolios with regime switching and value-at-risk constraint
- Mutual fund competition in the presence of dynamic flows
- Multi-period portfolio optimization with linear control policies
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Continuous-time stochastic control and optimization with financial applications
- Mean-variance portfolio selection in a complete market with unbounded random coefficients
- Robust time-inconsistent stochastic control problems
- Fuzzy multi-period portfolio selection optimization models using multiple criteria
- Direct data-driven portfolio optimization with guaranteed shortfall probability
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
- Robust consumption portfolio optimization with stochastic differential utility
- Indefinite mean-field type linear-quadratic stochastic optimal control problems
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
- Sparse mean-reverting portfolios via penalized likelihood optimization
- Optimal portfolio execution problem with stochastic price impact
- Term structure models during the global financial crisis: a parsimonious text mining approach
- Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps
- Multiperiod mean-standard-deviation time consistent portfolio selection
- Hedging global environment risks: an option based portfolio insurance
- Optimization of stock trading with additional information by limit order book
- A generalized clark representation formula, with application to optimal portfolios
- Minimax optimal control of stochastic uncertain systems with relative entropy constraints
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Dynamically consistent alpha‐maxmin expected utility
This page was built for publication: Equilibrium multi-agent model with heterogeneous views on fundamental risks
