OOIR: Observatory of International Research

Papers

(The median citation count of Mathematics and Financial Economics is 0. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2021-02-01 to 2025-02-01.)

Article	Citations
The implications of tax loss carryforwards on investment policy	18
A pricing formula for delayed claims: appreciating the past to value the future	12
Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk	9
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics	9
Are minimum variance portfolios in multi-factor models long in low-beta assets?	7
On the value of a time-inconsistent mean-field zero-sum Dynkin game	7
An elementary proof of the dual representation of Expected Shortfall	6
Informational efficiency and welfare	5
Irreversible reinsurance: minimization of capital injections in presence of a fixed cost	5
Governmental incentives for green bonds investment	5
Optimal design of bank regulation under aggregate risk	5
Systemic cascades on inhomogeneous random financial networks	5
Safety-first portfolio selection	5
Peer effect and dynamic ALM games among insurers	4
Insurance guaranty premiums and exchange options	4
Caballero–Engel meet Lasry–Lions: A uniqueness result	4
Capital risk, fiscal policy, and the distribution of wealth	4
Convergence rates of large-time sensitivities with the Hansen–Scheinkman decomposition	4
Optimization of regional economic industrial structure based on fuzzy k-means algorithm	3
A robust consumption model when the intensity of technological progress is ambiguous	3
Consumption-investment decisions with endogenous reference point and drawdown constraint	3
A note on persistent private information	2
A mean field model for the development of renewable capacities	2
Price-mediated contagion with endogenous market liquidity	2
Term structure modeling under volatility uncertainty	2

On the market price of risk	2
Age-dependent robust strategic asset allocation with inflation–deflation hedging demand	2
Insider trading in discrete time Kyle games	2
Characterization of transport optimizers via graphs and applications to Stackelberg–Cournot–Nash equilibria	2
Diffusion bank networks and capital flows	2
Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity	2
Hunting for superstars	2
Optimal finite horizon contract with limited commitment	1
The perturbation method applied to a robust optimization problem with constraint	1
Mean-field ranking games with diffusion control	1
Dynamic Cournot-Nash equilibrium: the non-potential case	1
On intermediate marginals in martingale optimal transportation	1
Optimal investment and reinsurance strategies for an insurer with regime-switching	1
Robust long-term growth rate of expected utility for leveraged ETFs	1
Robust utility maximizing strategies under model uncertainty and their convergence	1
Price formation and optimal trading in intraday electricity markets	1
An optimal advertising model with carryover effect and mean field terms	1
Traditional and digital currencies in over-the-counter markets	0
Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment	0
Is Kyle’s equilibrium model stable?	0
Human capital and portfolio choice: borrowing constraint and reversible retirement	0
Countercyclical unemployment benefits: a general equilibrium analysis of transition dynamics	0
Contagion risks and security investment in directed networks	0
A two-player portfolio tracking game	0
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction	0
Pathwise superhedging under proportional transaction costs	0
Dynamic debt issuance with jumps	0
Moral hazard with excess returns	0
Price impact equilibrium with transaction costs and TWAP trading	0
Optimal bubble riding with price-dependent entry: a mean field game of controls with common noise	0
Foreword to the special issue on “mean-field models and their economic and financial applications”	0
On the functional equivalence of two perfectly competitive economies with negative exponential utility and linear utility with a quadratic holding cost	0
Arbitrage-free Nelson–Siegel model for multiple yield curves	0
Optimal investment and reinsurance under exponential forward preferences	0
Optimal insurance design under belief-dependent utility and ambiguity	0
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise	0
Modelling the industrial production of electric and gas utilities through the $$CIR^3$$ model	0
Connectedness versus diversification: two sides of the same coin	0
Optimal collective investment: an analysis of individual welfare	0
Non-concave portfolio optimization with average value-at-risk	0
Supermartingale deflators in the absence of a numéraire	0
A dynamical model for real economy and finance	0
Robust utility maximization under model uncertainty via a penalization approach	0
Dynamically complete markets under Brownian motion	0
Risk management with expected shortfall	0
A stochastic control approach to public debt management	0
Robust utility maximization with nonlinear continuous semimartingales	0
Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction	0
Optimal portfolios in the presence of stress scenarios A worst-case approach	0
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process	0

Mean field portfolio games with consumption	0
Information and dynamic trading with the Gambler’s fallacy	0
A mean field model for the interactions between firms on the markets of their inputs	0
Multivariate tempered stable additive subordination for financial models	0
Nash equilibria for relative investors with (non)linear price impact	0
Learning about latent dynamic trading demand $$^*$$	0
A fractional Hawkes process for illiquidity modeling	0
Investment in two alternative projects with multiple switches and the exit option	0
An optimal portfolio and consumption problem with a benchmark and partial information	0
Investment timing and capacity choice in duopolistic competition under a jump-diffusion model	0
Mean field games with unbounded controlled common noise in portfolio management with relative performance criteria	0
A mean field game approach to relative investment–consumption games with habit formation	0
Climate change adaptation under heterogeneous beliefs	0
Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation	0
Portfolio time consistency and utility weighted discount rates	0