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q-fin.PM2020
Competition in Fund Management and Forward Relative Performance Criteria
Michail Anthropelos, Tianran Geng, Thaleia Zariphopoulou
In an Ito-diffusion market, two fund managers trade under relative performance concerns. For both the asset specialization and diversification settings, we analyze the passive and…
q-fin.PM2011
Forward Exponential Performances: Pricing and Optimal Risk Sharing
Michail Anthropelos
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of conting…