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A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
We consider both $N$-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading.
Mean-Field Liquidation Games with Market Drop-out
We prove that equilibria (both in the mean-field and the finite player game) are given as solutions to a non-linear higher-order integral equation with endogenous terminal condition.
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