Nash equilibria for relative investors with (non)linear price impact

Cites Work

Large traders and illiquid options: hedging vs. manipulation
Portfolio optimization for a large investor under partial information and price impact
Dynamic trading policies with price impact
Option pricing with an illiquid underlying asset market
Continuous-time stochastic control and optimization with financial applications
Optimal consumption choices for a `large' investor
Hedging options for a large investor and forward-backward SDE's
Mean field portfolio games
Many-player games of optimal consumption and investment under relative performance criteria
Dynamic asset allocation with relative wealth concerns in incomplete markets
Controlled Markov processes and viscosity solutions
Mean field portfolio games with consumption
Nash equilibria for relative investors via no-arbitrage arguments
Hedging and Portfolio Optimization in Financial Markets with a Large Trader
High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact
A Mean Field Game of Optimal Portfolio Liquidation
Correction to: Stochastic Analysis, Filtering, and Stochastic Optimization
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players
Mean field and n‐agent games for optimal investment under relative performance criteria
A Market Impact Game Under Transient Price Impact
OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION
Arbitrage Theory in Continuous Time
Handbook of Price Impact Modeling
Optimal investment with a noisy signal of future stock prices
Stochastic liquidity as a proxy for nonlinear price impact

This page was built for publication: Nash equilibria for relative investors with (non)linear price impact