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q-fin.MF2020★ 1 cited
Acceptability maximization
Gabriela Kováčová, Birgit Rudloff, Igor Cialenco
The aim of this paper is to study the optimal investment problem by using coherent acceptability indices (CAIs) as a tool to measure the portfolio performance. We call this problem…
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…