3 papers
q-fin.MF2026
Mean Field Portfolio Games with Epstein-Zin Preferences
Guanxing Fu, Ulrich Horst
We study mean field portfolio games under Epstein-Zin preferences, which naturally encompass the classical time-additive power utility as a special case. In a general non-Markovian…
math.OC2026
Stochastic Control Problems with Infinite Horizon and Regime Switching Arising in Optimal Liquidation with Semimartingale Strategies
Xinman Cheng, Guanxing Fu, Xiaonyu Xia
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy c…
q-fin.MF2025
A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
Guanxing Fu, Paul P. Hager, Ulrich Horst
We consider both -player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially…