2 papers
q-fin.PM2020
Competition in Fund Management and Forward Relative Performance Criteria
Michail Anthropelos, Tianran Geng, Thaleia Zariphopoulou
In an Ito-diffusion market, two fund managers trade under relative performance concerns. For both the asset specialization and diversification settings, we analyze the passive and…
q-fin.MF2017
Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria
Tianran Geng, Thaleia Zariphopoulou
We present turnpike-type results for the risk tolerance function in an incomplete market setting under time-monotone forward performance criteria. We show that, contrary to the cla…