:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Author:	Preisel, Michael
Format:	Preprint
Published:	2023
Subjects:	Mathematical Finance
Online Access:	https://arxiv.org/abs/2309.07488
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Optimizing Sparse Mean-Reverting Portfolio
by: Yoon, Sung Min
Published: (2024)

Mean-Variance Optimization for Participating Life Insurance Contracts
by: Fießinger, Felix, et al.
Published: (2024)

Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics
by: Chen, Yuling Max, et al.
Published: (2025)

The Optimal Mean–Variance Selling Problem With Finite Horizon
by: Peter Johnson, et al.
Published: (2026)

Partial Information in a Mean‐Variance Portfolio Selection Game
by: Yu‐Jui Huang, et al.
Published: (2025)

Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model
by: Li, Yuchen, et al.
Published: (2022)

The Exploratory Multi-Asset Mean-Variance Portfolio Selection using Reinforcement Learning
by: Li, Yu, et al.
Published: (2025)

Mean-Variance Portfolio Selection in Long-Term Investments with Unknown Distribution: Online Estimation, Risk Aversion under Ambiguity, and Universality of Algorithms
by: Lam, Duy Khanh
Published: (2024)

Extended HJB Equation for Mean-Variance Stopping Problem: Vanishing Regularization Method
by: Dong, Yuchao, et al.
Published: (2025)

Regime Discovery and Intra-Regime Return Dynamics in Global Equity Markets
by: Luwang, Salam Rabindrajit, et al.
Published: (2026)

Kernel Learning for Mean-Variance Trading Strategies
by: Futter, Owen, et al.
Published: (2025)

Mean-Variance Stackelberg Games with Asymmetric Information
by: Huang, Yu-Jui, et al.
Published: (2025)

Mean Field Game of High-Frequency Anticipatory Trading
by: Cheng, Xue, et al.
Published: (2024)

Mean Field Portfolio Games with Epstein-Zin Preferences
by: Fu, Guanxing, et al.
Published: (2025)

Systemic Risk and Heterogeneous Mean Field Type Interbank Network
by: Sun, Li-Hsien
Published: (2019)

Regularity of Solutions of Mean-Field $G$-SDEs
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2025)

Heterogenous Macro-Finance Model: A Mean-field Game Approach
by: Vu, Hoang, et al.
Published: (2025)

A Mean Field Game approach for pollution regulation of competitive firms
by: Del Sarto, Gianmarco, et al.
Published: (2024)

Mean-Field SDEs driven by $G$-Brownian Motion
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2024)

Equilibrium Mean-Variance Dividend Rate Strategies
by: Cao, Jingyi, et al.
Published: (2025)

Partial Information in a Mean-Variance Portfolio Selection Game
by: Huang, Yu-Jui, et al.
Published: (2023)

Coordinated Mean-Field Control for Systemic Risk
by: Yamanaka, Toshiaki
Published: (2025)

Sentiment-Aware Mean-Variance Portfolio Optimization for Cryptocurrencies
by: Chen, Qizhao
Published: (2025)

Multivariate Variance Swap Using Generalized Variance Method for Stochastic Volatility models
by: Gebresilassie, Semere, et al.
Published: (2025)

Deep Galerkin Method for Mean Field Control Problem
by: Sun, Jingruo
Published: (2022)

Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
by: Liang, Gechun, et al.
Published: (2023)

Mean-field game of mean-variance portfolio management with peer-based relative risk aversion
by: Cheng, Weilun, et al.
Published: (2026)

Optimal Bubble Riding with Price-dependent Entry: a Mean Field Game of Controls with Common Noise
by: Tangpi, Ludovic, et al.
Published: (2023)

Stationary Discounted and Ergodic Mean Field Games of Singular Control
by: Cao, Haoyang, et al.
Published: (2021)

The Variance-Gamma Process for Option Pricing
by: Shenoy, Rohan, et al.
Published: (2025)

Multiarmed Bandits Problem Under the Mean-Variance Setting
by: Hu, Hongda, et al.
Published: (2022)

Playing with Fire? A Mean Field Game Analysis of Fire Sales and Systemic Risk under Regulatory Capital Constraints
by: Frey, Rüdiger, et al.
Published: (2024)

Justifying the Volatility of S&P 500 Daily Returns
by: Brown, Hayden
Published: (2024)

Modeling Stock Return Distributions and Pricing Options
by: Jiang, Xinxin
Published: (2025)

Equity-Linked Life Insurances on Maximum of Several Assets
by: Gankhuu, Battulga
Published: (2021)

Variance-Hawkes Process and its Application to Energy Markets
by: McGillivray, Joshua, et al.
Published: (2024)

Option Pricing with Stochastic Volatility, Equity Premium, and Interest Rates
by: Hao, Nicole, et al.
Published: (2024)

Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
by: Zhe Fei, et al.
Published: (2026)

A Mean Field Game Approach to Relative Investment-Consumption Games with Habit Formation
by: Liang, Zongxia, et al.
Published: (2024)

Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler
by: Hiraki, Daichi, et al.
Published: (2024)