48 citations · 357 across the 28 of their papers we have counts for
Showing 2021Show all
3 papers · 1 filter
math.OC2021★ 5 cited
Nash equilibria for relative investors via no-arbitrage arguments
Nicole Bäuerle, Tamara Göll
Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for agents who try to maximize…
math.OC2021★ 14 cited
Mean Field Markov Decision Processes
Nicole Bäuerle
We consider mean-field control problems in discrete time with discounted reward, infinite time horizon and compact state and action space. The existence of optimal policies is show…
q-fin.PM2021★ 3 cited
Bayesian optimal investment and reinsurance with dependent financial and insurance risks
Nicole Bäuerle, Gregor Leimcke
Major events like natural catastrophes or the COVID-19 crisis have impact both on the financial market and on claim arrival intensities and claim sizes of insurers. Thus, when opti…