20 citations · 57 across the 19 of their papers we have counts for
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q-fin.PM2017★ 2 cited
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…
q-fin.MF2017★ 15 cited
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…
q-fin.MF2017
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…