We study Merton’s expected utility maximization problem in an incomplete market, characterized by a factor process in addition to the stock price process, where all the model primitives are unknown. We take the reinforcement learning (RL) approach to learn optimal portfolio policies directly by exploring the unknown market, without attempting to estimate the model parameters.…

This article is about yield farming, which refers to a decentralized finance strategy of providing liquidity and seeking associated rewards in the form of transpired-transaction fees. We explain and demystify yield farming and quantify transaction costs, returns, and risks using on-chain data from major decentralized exchanges. We provide a mathematical framework that resembles a representative…

We present a new combined Mean Field Control Game (MFCG) problem which can be interpreted as a competitive game between collaborating groups and its solution as a Nash equilibrium between the groups. Within each group the players coordinate their strategies. An example of such a situation is a modification of the classical trader's problem. Groups…