20 citations · 57 across the 19 of their papers we have counts for
9 papers · 1 filter
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…
-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…
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…
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…