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20162026
most citedMean Field Exponential Utility Game: A Probabilistic Approach

6 citations · 6 across the 6 of their papers we have counts for

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Showing 2020Show all

2 papers · 1 filter

math.OC2020

Portfolio Liquidation Games with Self-Exciting Order Flow

Guanxing Fu, Ulrich Horst, Xiaonyu Xia

We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activitie…

math.OC2020★ 6 cited

Mean Field Exponential Utility Game: A Probabilistic Approach

Guanxing Fu, Xizhi Su, Chao Zhou

We study an -player and a mean field exponential utility game. Each player manages two stocks; one is driven by an individual shock and the other is driven by a common shock. Mo…