scholarly journals Mean field and n ‐agent games for optimal investment under relative performance criteria

2019 ◽  
Vol 29 (4) ◽  
pp. 1003-1038 ◽  
Author(s):  
Daniel Lacker ◽  
Thaleia Zariphopoulou
Keyword(s):  
Mean Field ◽  
Optimal Investment ◽  
Relative Performance ◽  
Performance Criteria

A Proposal for Performance Criteria for Propulsion Losses Due to Ship Steering

1982 ◽  
Vol 104 (2) ◽  
pp. 158-165 ◽  
Author(s):  
R. E. Reid
Keyword(s):  
High Speed ◽  
Operating Conditions ◽  
Relative Performance ◽  
Performance Criteria ◽  
Ship Steering ◽  
Calm Water ◽  
Simulation Results ◽  
Definition Of ◽  
Hydrodynamic Data

The problem of definition of propulsion loss related to ship steering is addressed. Performance criteria representative of propulsion losses due to steering over a range of operating conditions including operation in calm water and a seaway are considered. Criteria are derived from strict analytical considerations and from empirical assumptions based on experimentally derived hydrodynamic data. The applicability of these various criteria and the implications for both assessment of relative performance of existing ship autopilots and for the design of new steering controllers is discussed in relation to simulation results for a high-speed containership.

scholarly journals Malliavin method for optimal investment in financial markets with memory

2016 ◽  
Vol 14 (1) ◽  
pp. 286-299 ◽  
Author(s):  
Qiguang An ◽  
Guoqing Zhao ◽  
Gaofeng Zong
Keyword(s):  
Financial Market ◽  
Mean Field ◽  
Optimal Investment ◽  
Volterra Equations ◽  
Necessary Condition ◽  
Dynamic Programming Method ◽  
Classical Dynamic ◽  
Stochastic Volterra Equation ◽  
Optimal Investment Problem ◽  
With Memory

AbstractWe consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochastic Volterra equation is not a Markov process. In this paper, a new method through Malliavin calculus introduced in [1], can be used to obtain the optimal investment in a Volterra type financial market. We show a sufficient and necessary condition for the optimal investment in this financial market with memory by mean-field stochastic maximum principle.

OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

2013 ◽  
Vol 25 (2) ◽  
pp. 221-257 ◽  
Author(s):  
Gilles-Edouard Espinosa ◽  
Nizar Touzi
Keyword(s):  
Optimal Investment ◽  
Relative Performance

INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA

2011 ◽  
Vol 14 (01) ◽  
pp. 61-81 ◽  
Author(s):  
M. MUSIELA ◽  
T. ZARIPHOPOULOU
Keyword(s):  
Portfolio Choice ◽  
Optimal Investment ◽  
Risk Tolerance ◽  
Optimal Portfolio ◽  
Performance Criteria ◽  
Investment Strategies ◽  
Investment Performance ◽  
Investment Choice ◽  
Local Risk ◽  
New Perspective

The paper offers a new perspective on optimal portfolio choice by investigating how and to what extent knowledge of an investor's desirable initial investment choice can be used to determine his future optimal portfolio allocations. Optimality of investment decisions is built on the so-called forward investment performance criteria and, in particular, on the time-monotone ones. It is shown that for this class of forward criteria the desired initial allocations completely characterize the future optimal investment strategies. The analysis uses the connection between a nonlinear equation, satisfied by the local risk tolerance, and the backward heat equation. Complete solutions are provided as well as various examples.

scholarly journals Competition in Fund Management and Forward Relative Performance Criteria

2020 ◽  
Author(s):  
Michail Anthropelos ◽  
Tianran Geng ◽  
Thaleia Zariphopoulou
Keyword(s):  
Relative Performance ◽  
Performance Criteria ◽  
Fund Management
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