| Abstract: |
| My talk will focus on the presentation of some theoretical and numerical tools for adaptive decision-making in uncertain environments, within the scope of forward utilities. We investigate an investment-consumption optimization problem in both the many player and mean-field settings, under the framework of forward utilities with relative performance concerns and non-zero volatility. We will also provide numerical examples. If time permits, I will also present a numerical methods for forward utilities in a stochastic factor model (for both standard and regime-switching models), using their representation with ergodic backward stochastic differential equations (eBSDEs). |
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