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