48 citations · 357 across the 28 of their papers we have counts for
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math.OC2023★ 4 cited
Nash equilibria for relative investors with (non)linear price impact
Nicole Bäuerle, Tamara Göll
We consider the strategic interaction of investors who are able to influence a stock price process and at the same time measure their utilities relative to the other investors.…
math.OC2023★ 3 cited
Time-consistency in the mean-variance problem: A new perspective
Nicole Bäuerle, Anna Jaśkiewicz
We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transitio…