no code implementations • 29 Dec 2023 • Gechun Liang, Yifan Sun, Thaleia Zariphopoulou
We, also, consider representative examples for both forward performance criteria with random endowment and forward OCE, and for the case of exponential criteria, we investigate the connection between forward OCE and forward entropic risk measures.
no code implementations • 1 Jun 2021 • Ruimeng Hu, Thaleia Zariphopoulou
In It\^{o}-diffusion environments, we introduce and analyze $N$-player and common-noise mean-field games in the context of optimal portfolio choice in a common market.
no code implementations • 2 Nov 2020 • Michail Anthropelos, Tianran Geng, Thaleia Zariphopoulou
An important by-product of the work herein is the development of forward performance criteria for investment problems in Ito-diffusion markets under the presence of correlated random endowment process for both the perfectly and the incomplete market cases.
no code implementations • 30 Sep 2020 • Xin Guo, Renyuan Xu, Thaleia Zariphopoulou
In addition, this study leads to a policy-gradient algorithm for exploration in MFG.
no code implementations • 4 Nov 2019 • Agostino Capponi, Sveinn Olafsson, Thaleia Zariphopoulou
The risk-return tradeoff adapts to the client's risk profile, which depends on idiosyncratic characteristics, market returns, and economic conditions.
no code implementations • 4 Dec 2018 • Haoran Wang, Thaleia Zariphopoulou, Xunyu Zhou
We carry out a complete analysis of the problem in the linear--quadratic (LQ) setting and deduce that the optimal feedback control distribution for balancing exploitation and exploration is Gaussian.