OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

By Gilles-Edouard Espinosa, Nizar Touzi. 2015

178 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3ba86906e580f72cedde11f190a03a886d9c3687

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Daniel Lacker
2. Gordan vZitkovi'c
3. Thaleia Zariphopoulou
4. Hao Xing
5. Markus Fischer
6. Michael Monoyios
7. Vicky Henderson
8. Michael Tehranchi

In Management Science and Operations Research

1. Gordan vZitkovi'c
2. Hao Xing
3. Thaleia Zariphopoulou
4. Daniel Lacker

Citations in the corpus

• A class of globally solvable Markovian quadratic BSDE systems and applications (2016, background): “Indeed, in addition to their innate mathematical interest, BSDE appear in numerous applications, including stochastic representations for partial differential equations, optimal stochastic control and stochastic games (see, e.g. [EKH03], [CHKP14], [ET15], and [KP16]).”
• Mean field and n‐agent games for optimal investment under relative performance criteria (2017, background): “Using the explicit form (14) and the admissibility of this candidate control, we can establish a verification theorem following well-known arguments in stochastic optimization (Fleming & Soner, 2006; Pham, 2009; Touzi, 2012).”