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A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
We consider both $N$-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading.
Mean-Field Liquidation Games with Market Drop-out
We prove that equilibria (both in the mean-field and the finite player game) are given as solutions to a non-linear higher-order integral equation with endogenous terminal condition.
A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies
We consider a mean-field control problem with c\`adl\`ag semimartingale strategies arising in portfolio liquidation models with transient market impact and self-exciting order flow.
Mean Field Portfolio Games
We study mean field portfolio games with random market parameters, where each player is concerned with not only her own wealth but also relative performance to her competitors.
