89 citations · 212 across the 27 of their papers we have counts for
34 papers
Forward recursive aggregator systems and the forward Epstein-Zin recursive paradigm
Zakaria Bensaid, Anis Matoussi, Thaleia Zariphopoulou
We introduce forward recursive aggregator systems in It{ô}-diffusion markets, bridging the theories of recursive utilities and of forward performance criteria. The resulting criter…
Deep numerical schemes for systems of Ergodic BSDEs with applications to regime-switching forward utilities
Guillaume Broux-Quemerais, Sarah Kaakai, Anis Matoussi +1
In this paper, we introduce two neural-network-based numerical schemes for solving systems of coupled ergodic Backward Stochastic Differential Equations (eBSDEs), motivated by the…
Law-invariant BSDEs and dynamic risk measures: new characterizations
Zakaria Bensaid, Roxana Dumitrescu, Anis Matoussi +1
We provide a new characterization of law-invariant backward stochastic differential equations (i.e. BSDEs) with quadratic growth. This answers the open question raised in Xu--Xu--Z…
Optimal investment and consumption under forward utilities with relative performance concerns
Guillaume Broux-Quemerais, Anis Matoussi, Zhou Chao
We study a n-player and mean-field portfolio optimization problem under relative performance concerns with non-zero volatility, for wealth and consumption. The consistency assumpti…
Deep learning scheme for forward utilities using ergodic BSDEs
Guillaume Broux-Quemerais, Sarah Kaakaï, Anis Matoussi +1
In this paper, we present a probabilistic numerical method for a class of forward utilities in a stochastic factor model. For this purpose, we use the representation of dynamic con…
Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
Sarah Kaakai, Anis Matoussi, Achraf Tamtalini
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. T…