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q-fin.PM2018★ 2 cited
A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality
Torsten Trimborn
We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Further…
q-fin.PM2017
Portfolio Optimization and Model Predictive Control: A Kinetic Approach
Torsten Trimborn, Lorenzo Pareschi, Martin Frank
In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a…