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Separation Principle for Major Agent
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Classroom Contents
Early Career Talks on Financial Mathematics and Engineering - Belief Estimation and Robo-Advising
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- 1 Intro
- 2 Motivation: Electronic Markets
- 3 Optimal Execution Problems: Trading Dynamics
- 4 Optimal Execution Problems: Incomplete Information
- 5 Major-Minor LQG Mean Field Games
- 6 Mean Field Evolution
- 7 Major Agent's Kalman Filter
- 8 Separation Principle for Major Agent
- 9 Minor Agent's Kalman Filter
- 10 Best Response Strategies
- 11 Mean Field Consistency Equations
- 12 Simulation Results
- 13 Optimal Execution Problems: Liquidation Objective
- 14 Robo-Advisors
- 15 Model of Robo-Advising
- 16 Research Questions
- 17 Market Dynamics
- 18 Client's Risk Aversion
- 19 Human-Machine Interaction
- 20 Robo-Advisor's Model of Client
- 21 Adaptive Mean-Variance Criterion
- 22 Optimal Investment Strategy
- 23 Structure of Optimal Strategy
- 24 Computation of Optimal Strategy
- 25 Interaction and Portfolio Personalization
- 26 Economic Transitions and Investment Performance
- 27 Future Developments
