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Multi-agent investment in incomplete markets

Xia, Jianming - In: Finance and stochastics 8 (2004) 2, pp. 241-259

Persistent link: https://www.econbiz.de/10002012585

Properties of risk capital allocation methods : core compatibility, equal treatment property and strong monotonicity

Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - 2014

axiomatization of the Shapley value that the requirements of Core Compatibility, Equal Treatment Property and Strong Monotonicity are …

Persistent link: https://www.econbiz.de/10010381388

Stochastic asset allocation and reinsurance game under contagious claims

Liu, Guo; Jin, Zhuo; Li, Shuanming; Zhang, Jiannan - In: Finance research letters 49 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013479221

Game-theoretic approach to risk-sensitive benchmarked asset management

Deshpande, Amogh; Jacka, Saul D. - In: Risk and decision analysis 5 (2014) 4, pp. 163-176

Persistent link: https://www.econbiz.de/10011286253

Stochastic differential games between two insurers with generalized mean-variance premium principle

Chen, Shumin; Yang, Hailiang; Zeng, Yan - In: Astin bulletin : the journal of the International … 48 (2018) 1, pp. 413-434

Persistent link: https://www.econbiz.de/10011875615

Equilibrium strategies in a defined benefit pension plan game

Josa-Fombellida, Ricardo; Rincón-Zapatero, Juan Pablo - In: European journal of operational research : EJOR 275 (2019) 1, pp. 374-386

Persistent link: https://www.econbiz.de/10011993327

Portfolio liquidation games with self-exciting order flow

Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu - 2022

We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order arrivals thereby generating an additional transient price...

Persistent link: https://www.econbiz.de/10013193885

A two-player portfolio tracking game

Voß, Moritz - In: Mathematics and financial economics 16 (2022) 4, pp. 779-809

Persistent link: https://www.econbiz.de/10013438883

Portfolio liquidation games with self-exciting order flow

Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1020-1065

Persistent link: https://www.econbiz.de/10013463387

A model of financial fragility

Lagunoff, Roger D.; Schreft, Stacey L. - In: Journal of economic theory 99 (2001) 1/2, pp. 220-264

Persistent link: https://www.econbiz.de/10001604684