68 citations · 217 across the 38 of their papers we have counts for
4 papers · 1 filter
Optimal Investment with Correlated Stochastic Volatility Factors
Maxim Bichuch, Jean-Pierre Fouque
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot o…
Systemic Optimal Risk Transfer Equilibrium
Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque +2
We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann's classical notion of an Equilibrium Risk Exchange. We provide…
Deep Learning Methods for Mean Field Control Problems with Delay
Jean-Pierre Fouque, Zhaoyu Zhang
We consider a general class of mean field control problems described by stochastic delayed differential equations of McKean-Vlasov type. Two numerical algorithms are provided based…
Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Empirical studies indicate the presence of multi-scales in the volatility of underlying assets: a fast-scale on the order of days and a slow-scale on the order of months. In our pr…