1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.MF2023
Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
Gechun Liang, Moris S. Strub, Yuwei Wang
We introduce predictable relative forward performance processes (PRFPP) as a new framework for studying portfolio management within a competitive and incomplete market environment.…
q-fin.MF2021★ 1 cited
Predictable Forward Performance Processes: Infrequent Evaluation and Applications to Human-Machine Interactions
Gechun Liang, Moris S. Strub, Yuwei Wang
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key…