no code implementations • 15 Mar 2024 • Guanxing Fu, Paul P. Hager, Ulrich Horst
We consider both $N$-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading.
no code implementations • 10 Mar 2023 • Guanxing Fu, Paul P. Hager, Ulrich Horst
We prove that equilibria (both in the mean-field and the finite player game) are given as solutions to a non-linear higher-order integral equation with endogenous terminal condition.