Competition in fund management and forward relative performance criteria
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Recommendations
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Cites work
- A class of homothetic forward investment performance processes with non-zero volatility
- A dual characterization of self-generation and exponential forward performances
- A financial market with interacting investors: does an equilibrium exist?
- Ambiguity aversion and incompleteness of financial markets.
- An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE
- Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
- Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
- Dynamically consistent investment under model uncertainty: the robust forward criteria
- Equilibrium Pricing Under Relative Performance Concerns
- Equilibrium strategies for alpha-maxmin expected utility maximization
- Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
- Forward exponential performances: pricing and optimal risk sharing
- Forward indifference valuation of American options
- scientific article; zbMATH DE number 5529012 (Why is no real title available?)
- scientific article; zbMATH DE number 5499205 (Why is no real title available?)
- Mean field and n-agent games for optimal investment under relative performance criteria
- Optimal investment and consumption with labor income in incomplete markets
- Optimal investment under relative performance concerns
- Optimal investment with intermediate consumption and random endowment
- Portfolio choice under dynamic investment performance criteria
- Portfolio choice under space-time monotone performance criteria
- Predictable forward performance processes: the binomial case
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Stochastic Partial Differential Equations and Portfolio Choice
Cited in
(23)- Many-player games of optimal consumption and investment under relative performance criteria
- Mean field portfolio games with consumption
- Is concentration a good idea? Evidence from active fund management
- Front-Running by Mutual Fund Managers: A Mixed Bag *
- Competition among institutional investors and asset specialization in multi-period discrete time
- Forward utility and market adjustments in relative investment-consumption games of many players
- Gaming Performance Fees By Portfolio Managers
- Fund managers' competition for investment flows based on relative performance
- Optimal investment in a large population of competitive and heterogeneous agents
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Time-consistent pension policy with minimum guarantee and sustainability constraint
- Optimal investment and consumption with forward preferences and uncertain parameters
- Mean field and n-player games in Ito-diffusion markets under forward performance criteria
- Optimal liquidation with dynamic parameter updating: a forward approach
- Robust forward investment and consumption under drift and volatility uncertainties: a randomization approach
- Optimal risk sharing with correlated insurance businesses in a Stackelberg-Nash differential game
- Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
- A deep learning method for optimal investment under relative performance criteria among heterogeneous agents
- Optimal investment strategies under the relative performance in jump-diffusion markets
- Multiagent relative investment games in a jump diffusion market with deep reinforcement learning algorithm
- Optimal investment and reinsurance under exponential forward preferences
- Relative portfolio optimization via a value at risk based constraint
- Mutual fund competition in the presence of dynamic flows
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