4 citations · 6 across the 3 of their papers we have counts for
3 papers
q-fin.MF2019
Many-player games of optimal consumption and investment under relative performance criteria
Daniel Lacker, Agathe Soret
We study a portfolio optimization problem for competitive agents with CRRA utilities and a common finite time horizon. The utility of an agent depends not only on her absolute weal…
math.PR2019★ 4 cited
Inverting the Markovian projection, with an application to local stochastic volatility models
Daniel Lacker, Mykhaylo Shkolnikov, Jiacheng Zhang
We study two-dimensional stochastic differential equations (SDEs) of McKean--Vlasov type in which the conditional distribution of the second component of the solution given the fir…
math.PR2017★ 2 cited
Rare Nash Equilibria and the Price of Anarchy in Large Static Games
Daniel Lacker, Kavita Ramanan
We study a static game played by a finite number of agents, in which agents are assigned independent and identically distributed random types and each agent minimizes its objective…