Showing math.OCShow all
3 papers · 1 filter
math.OC2025
Yet Another Distributional Bellman Equation
Nicole Bäuerle, Tamara Göll, Anna JaÅkiewicz
We consider non-standard Markov Decision Processes (MDPs) where the target function is not only a simple expectation of the accumulated reward. Instead, we consider rather general…
math.OC2025
Relative portfolio optimization via a value at risk based constraint
Nicole Bäuerle, Tamara Göll
In this paper, we consider agents who invest in a general financial market that is free of arbitrage and complete. The aim of each investor is to maximize her expected utility…
math.OC2024
Nash equilibria for relative investors with (non)linear price impact
Nicole Bäuerle, Tamara Göll
We consider the strategic interaction of investors who are able to influence a stock price process and at the same time measure their utilities relative to the other investors.…