Nash equilibrium for risk-averse investors in a market impact game: finite and infinite time horizons

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Luo, Xiangge , and Alexander Schied. “Nash equilibrium for risk-averse investors in a market impact game: finite and infinite time horizons”. Market Microstructure and Liquidity 5, no. 01n04 (2019): 2050001. https://arxiv.org/1807.03813.

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Last updated on 07/07/2023