2 citations · 4 across the 12 of their papers we have counts for
6 papers · 1 filter
Optimal Investment and Consumption in Financial Markets with Integrated Variance Clocks
Eduardo Abi Jaber, Florian Gutekunst, Martin Herdegen +1
We study the infinite-horizon optimal investment and consumption problem in a general class of continuous financial markets, where uncertainty is driven by a continuous non-decreas…
Competition between DEXs through Dynamic Fees
Leonardo Baggiani, Martin Herdegen, Leandro Sanchez-Betancourt
We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibriu…
Optimal Investment and Consumption in a Stochastic Factor Model
Florian Gutekunst, Martin Herdegen, David Hobson
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of…
The Interplay between Utility and Risk in Portfolio Selection
Leonardo Baggiani, Martin Herdegen, Nazem Khan
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of util…
Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets
Christoph Czichowsky, Martin Herdegen, David Martins
We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing…
Market Making with Exogenous Competition
Robert Boyce, Martin Herdegen, Leandro Sánchez-Betancourt
We study liquidity provision in the presence of exogenous competition. We consider a `reference market maker' who monitors her inventory and the aggregated inventory of the competi…