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Nash equilibria for relative investors with (non)linear price impact

Bäuerle, Nicole; Göll, Tamara - In: Mathematics and Financial Economics 18 (2024) 1, pp. 27-48

We consider the strategic interaction of n investors who are able to influence a stock price process and at the same time measure their utilities relative to the other investors. Our main aim is to find Nash equilibrium investment strategies in this setting in a financial market driven by a...

Persistent link: https://www.econbiz.de/10015373541

Optimal investment under partial information and robust VAR-type constraint

Bäuerle, Nicole; Chen, An - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-18

Persistent link: https://www.econbiz.de/10014497281

Optimal investment in ambiguous financial markets with learning

Bäuerle, Nicole; Mahayni, Antje - In: European journal of operational research : EJOR 315 (2024) 1, pp. 393-410

Persistent link: https://www.econbiz.de/10014562844

Markov decision processes with risk-sensitive criteria : an overview

Bäuerle, Nicole; Jaśkiewicz, Anna - In: Mathematical methods of operations research : ZOR 99 (2024) 1/2, pp. 141-178

Persistent link: https://www.econbiz.de/10015125537

Nash equilibria for relative investors with (non)linear price impact

Bäuerle, Nicole; Göll, Tamara - In: Mathematics and financial economics 18 (2024) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10015045567

Markov decision processes with recursive risk measures

Bäuerle, Nicole; Glauer, Alexander - In: European journal of operational research : EJOR 296 (2022) 3, pp. 953-966

Persistent link: https://www.econbiz.de/10013255611

Nash equilibria for relative investors via no-arbitrage arguments

Bäuerle, Nicole; Göll, Tamara - In: Mathematical methods of operations research : ZOR 97 (2023) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10014227381