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20162026
most citedInverting the Markovian projection, with an application to local stochastic volatility models

4 citations · 13 across the 15 of their papers we have counts for

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Showing 2019 · q-fin.MFShow all

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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…