29 citations · 119 across the 29 of their papers we have counts for
8 papers · 1 filter
Systemic Risk Models for Disjoint and Overlapping Groups with Equilibrium Strategies
Yichen Feng, Jean-Pierre Fouque, Ruimeng Hu +1
We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, w…
-player and Mean-field Games in Itô-diffusion Markets with Competitive or Homophilous Interaction
Ruimeng Hu, Thaleia Zariphopoulou
In Itô-diffusion environments, we introduce and analyze -player and common-noise mean-field games in the context of optimal portfolio choice in a common market. The players inve…
Sub- and Super-solution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Market
Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asympto…
Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Empirical studies indicate the presence of multi-scales in the volatility of underlying assets: a fast-scale on the order of days and a slow-scale on the order of months. In our pr…
Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Fractional stochastic volatility models have been widely used to capture the non-Markovian structure revealed from financial time series of realized volatility. On the other hand,…
Asymptotic Optimal Portfolio in Fast Mean-reverting Stochastic Environments
Ruimeng Hu
This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are imp…
Optimal Portfolio under Fractional Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, w…
Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic o…