Strategic Index Reconstitution: Differential Games, Closed-Loop Equilibria and Mean-Field Dynamics

By Lukas-Benedikt Fiechtner, Jose Blanchet

Published 2026-09-15

Everscope rating

2008.8

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Stochastic Differential Games with Closed-Loop Nash Equilibria and Mean-Field Approximation. Problem types: Algorithmic Execution, Portfolio Optimization, Optimization, Risk Management.

arXiv:2609.15901 · Paper rankings

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