Continuous-time stochastic mutual fund management game between active and passive funds-Reference-Cited by-同舟云学术

Continuous-time stochastic mutual fund management game between active and passive funds

Published:2021-03-23 Issue:10 Volume:21 Page:1647-1667
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Han Kai¹²,Rong Ximin¹³,Shen Yang⁴,Zhao Hui¹

Affiliation:

1. School of Mathematics, Tianjin University, Tianjin, People's Republic of China

2. Agro-related Policy and Business Innovation Department, Agricultural Bank of China Limited, Beijing, People's Republic of China

3. Coordinated Innovation Center for Computable Modeling in Management Science, Tianjin University of Finance and Economics, Tianjin, People's Republic of China

4. School of Risk and Actuarial Studies and CEPAR, University of New South Wales, Sydney, Australia

Funder

Australian Research Council

National Natural Science Foundation of China

Natural Science Foundation of Tianjin City

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1876242

Reference33 articles.

1. Asset Prices and Institutional Investors

2. Risk Management with Benchmarking

3. Optimal Asset Allocation and Risk Shifting in Money Management

4. A Stackelberg Network Game with a Large Number of Followers

5. The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Linear-quadratic two-person differential game: Nash game versus stackelberg game, local information versus global information;ESAIM: Control, Optimisation and Calculus of Variations;2024