3 papers in the archive (2023–2025), average empirical rigor 1.8/10, average math complexity 8.7/10. Quadrant mix: Lab Rats ×3.
Works mostly in Stochastic Control & Optimal Stopping, Factor Investing & Asset Pricing.
Frequent co-authors: Masashi Sekine (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
Financial firms and institutional investors are routinely evaluated based on their performance relative to their peers. These relative performance concerns significantly influence risk-taking behavior and market dynamics. While the literature studying Nash equilibrium under such relative performance
This work solves the equilibrium price formation problem for the risky stock by combining mean-field game theory with the binomial tree framework, adapting the classic approach of Cox, Ross & Rubinstein. For agents with exponential and recursive utilities of exponential-type, we prove the existence
In this paper, using the mean-field game theory, we study a problem of equilibrium price formation among many investors with exponential utility in the presence of liabilities unspanned by the security prices. The investors are heterogeneous in their initial wealth, risk-averseness parameter, as wel