12 citations · 17 across the 10 of their papers we have counts for
20 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…
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…