A mean field game of optimal portfolio liquidation
Guanxing Fu, Paulwin Graewe, Ulrich Horst, Alexandre Popier
| Year of publication: |
2021
|
|---|---|
| Authors: | Fu, Guanxing ; Graewe, Paulwin ; Horst, Ulrich ; Popier, Alexandre |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 46.2021, 4, p. 1250-1281
|
| Subject: | continuation method | mean field game | portfolio liquidation | singular FBSDE | Portfolio-Management | Portfolio selection | Spieltheorie | Game theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2020.1094 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012796639