20 citations · 57 across the 19 of their papers we have counts for
24 papers
The microstructure of information through mean field learning interaction
Panagiotis E. Souganidis, Renyuan Xu, Thaleia Zariphopoulou
We study how knowledge about partially observable model parameters is being created and propagated in large scale systems. Information is generated from observational signals whose…
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…
High-Order Expansions of the Optimizer Map via Bell Polynomials
Oleksii Mostovyi, Thaleia Zariphopoulou
Completely monotonic inverse marginal (CMIM) utilities, introduced in [MSZ24], constitute a tractable class of preferences that includes many of the most important utility function…
On the optimal portfolio problem with partial information and related mean field games with relative performance criteria
Panagiotis Souganidis, Thaleia Zariphopoulou
We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach t…
Decision Making under Costly Sequential Information Acquisition: the Paradigm of Reversible and Irreversible Decisions
Renyuan Xu, Thaleia Zariphopoulou, Luhao Zhang
Decision making in modern stochastic systems, including e-commerce platforms, financial markets and healthcare systems, has evolved into a multifaceted process that combines inform…
Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou
We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept…
-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…
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…
Entropy Regularization for Mean Field Games with Learning
Xin Guo, Renyuan Xu, Thaleia Zariphopoulou
Entropy regularization has been extensively adopted to improve the efficiency, the stability, and the convergence of algorithms in reinforcement learning. This paper analyzes both…
On the analyticity of the value function in optimal investment and stochastically dominant markets
Oleskii Mostovyi, Mihai Sîrbu, Thaleia Zariphopoulou
We study the analyticity of the value function in optimal investment with expected utility from terminal wealth and the relation to stochastically dominant financial models. We ide…
Personalized Robo-Advising: Enhancing Investment through Client Interaction
Agostino Capponi, Sveinn Olafsson, Thaleia Zariphopoulou
Automated investment managers, or robo-advisors, have emerged as an alternative to traditional financial advisors. The viability of robo-advisors crucially depends on their ability…
Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion
Xue Dong He, Moris S. Strub, Thaleia Zariphopoulou
We introduce the concept of forward rank-dependent performance processes, extending the original notion to forward criteria that incorporate probability distortions. A fundamental…
Exploration versus exploitation in reinforcement learning: a stochastic control approach
Haoran Wang, Thaleia Zariphopoulou, Xunyu Zhou
We consider reinforcement learning (RL) in continuous time and study the problem of achieving the best trade-off between exploration of a black box environment and exploitation of…
Optimal contract for a fund manager, with capital injections and endogenous trading constraints
Sergey Nadtochiy, Thaleia Zariphopoulou
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in…
An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
Shuo Huang, Gechun Liang, Thaleia Zariphopoulou
We propose an approximation scheme for a class of semilinear parabolic equations that are convex and coercive in their gradients. Such equations arise often in pricing and portfoli…
On the Black's equation for the risk tolerance function
Sigrid Källblad, Thaleia Zariphopoulou
We analyze a nonlinear equation proposed by F. Black (1968) for the optimal portfolio function in a log-normal model. We cast it in terms of the risk tolerance function and provide…
Mean field and n-agent games for optimal investment under relative performance criteria
Daniel Lacker, Thaleia Zariphopoulou
We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common investment horizon…
Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria
Tianran Geng, Thaleia Zariphopoulou
We present turnpike-type results for the risk tolerance function in an incomplete market setting under time-monotone forward performance criteria. We show that, contrary to the cla…
Predictable Forward Performance Processes: The Binomial Case
Bahman Angoshtari, Thaleia Zariphopoulou, Xun Yu Zhou
We introduce a new class of forward performance processes that are endogenous and predictable with regards to an underlying market information set and, furthermore, are updated at…
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Wing Fung Chong, Ying Hu, Gechun Liang +1
Using elements from the theory of ergodic backward stochastic differential equations (BSDE), we study the behavior of forward entropic risk measures. We provide their general repre…
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
Gechun Liang, Thaleia Zariphopoulou
In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exp…
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou
We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. The dynamics of the prices of the traded assets depend…
Time--consistent investment under model uncertainty: the robust forward criteria
Sigrid Kallblad, Jan Obloj, Thaleia Zariphopoulou
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambig…
Maturity-independent risk measures
Thaleia Zariphopoulou, Gordan Zitkovic
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a f…