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q-fin.MF2022
A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies
Guanxing Fu, Ulrich Horst, Xiaonyu Xia
We consider a mean-field control problem with càdlàg semimartingale strategies arising in portfolio liquidation models with transient market impact and self-exciting order flow. We…
q-fin.MF2022
Mean Field Portfolio Games with Consumption
Guanxing Fu
We study mean field portfolio games with consumption. For general market parameters, we establish a one-to-one correspondence between Nash equilibria of the game and solutions to s…