77 citations · 329 across the 29 of their papers we have counts for
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econ.GN2020★ 1 cited
Forward utility and market adjustments in relative investment-consumption games of many players
Goncalo dos Reis, Vadim Platonov
We study a portfolio management problem featuring many-player and mean field competition, investment and consumption, and relative performance concerns under the forward performanc…
math.PR2020★ 41 cited
Large Deviations and Exit-times for reflected McKean-Vlasov equations with self-stabilizing terms and superlinear drifts
Daniel Adams, Gonçalo dos Reis, Romain Ravaille +2
We study a class of reflected McKean-Vlasov diffusions over a convex domain with self-stabilizing coefficients. This includes coefficients that do not satisfy the classical Wassers…