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Found 6 papers, 0 papers with code
On optimal tracking portfolio in incomplete markets: The classical control and the reinforcement learning approaches
This paper studies an infinite horizon optimal tracking portfolio problem using capital injection in incomplete market models.
A mean field game approach to equilibrium consumption under external habit formation
This paper studies the equilibrium consumption under external habit formation in a large population of agents.
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk preferences are of the power form.
Mean Field Game of Optimal Relative Investment with Jump Risk
This paper studies the n-player game and the mean field game under the CRRA relative performance on terminal wealth, in which the interaction occurs by peer competition.
Optimal Tracking Portfolio with A Ratcheting Capital Benchmark
We first transform the original problem with floor constraints into an unconstrained control problem, however, under a running maximum cost.
Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk
The verification theorem can be concluded with the aid of our BSDE results, which in turn yields the uniqueness of the solution to the BSDE.
