3 papers
math.OC2020
Dynamic Set Values for Nonzero Sum Games with Multiple Equilibriums
Zachary Feinstein, Birgit Rudloff, Jianfeng Zhang
Nonzero sum games typically have multiple Nash equilibriums (or no equilibrium), and unlike the zero sum case, they may have different values at different equilibriums. Instead of…
q-fin.MF2019
Robust no arbitrage and the solvability of vector-valued utility maximization problems
Andreas H Hamel, Birgit Rudloff, Zhou Zhou
A market model with assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a numèrai…
q-fin.MF2016
Convex Hedging in Incomplete Markets
Birgit Rudloff
In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measur…