Relative wealth concerns with partial information and heterogeneous priors
type: Item
instance of: scholarly article
title: Relative wealth concerns with partial information and heterogeneous priors
zbMATH Open document ID: 1537.91282
author: Chao Deng
author: Xizhi Su
author: Chao Zhou
published in: SIAM Journal on Financial Mathematics
publication date: 2024-05-22T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91A80
zbMATH DE Number: 7852100
zbMATH Keywords: portfolio allocation
zbMATH Keywords: relative wealth concerns
zbMATH Keywords: partial information
zbMATH Keywords: FBSDE
zbMATH Keywords: deep neural networks
MaRDI profile type: Publication
cites work: Backward-forward stochastic differential equations
cites work: Equilibrium Pricing Under Relative Performance Concerns
cites work: Optimal investment under partial information
cites work: Portfolio selection under incomplete information
cites work: Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case
cites work: Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case
cites work: Optimal consumption and portfolio policies when asset prices follow a diffusion process
cites work: Convex duality in constrained portfolio optimization
cites work: Illiquidity, position limits, and optimal investment for mutual funds
cites work: Portfolio Selection with Transaction Costs
cites work: Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
cites work: OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
cites work: Convergence of the deep BSDE method for coupled FBSDEs
cites work: Stationary equilibria in discounted stochastic games with weakly interacting players
cites work: Utility maximization in incomplete markets
cites work: Solution of forward-backward stochastic differential equations
cites work: Deep backward schemes for high-dimensional nonlinear PDEs
cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
cites work: A Note On Utility Maximization Under Partial Observations1
cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets
cites work: Mean field and n‐agent games for optimal investment under relative performance criteria
cites work: PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION
cites work: Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
cites work: Solving forward-backward stochastic differential equations explicitly -- a four step scheme
cites work: On well-posedness of forward-backward SDEs -- a unified approach
cites work: Portfolio selection with transactions costs
cites work: Exponential utility maximization under partial information
cites work: ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
cites work: Backward SDEs for control with partial information
cites work: Q4029028
cites work: Optimal portfolio in partially observed stochastic volatility models.
cites work: A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
cites work: Portfolio optimization with unobservable Markov-modulated drift process
cites work: Q4429138
cites work: Pricing via utility maximization and entropy.
cites work: Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
cites work: Optimal investment and consumption with transaction costs
cites work: Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
cites work: Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
cites work: Consumption-Investment Models with Constraints
cites work: The wellposedness of FBSDEs
DOI: 10.1137/22M1508625
description: scientific article; zbMATH DE number 7852100