Mean field and n ‐agent games for optimal investment under relative performance criteria
نویسندگان
چکیده
منابع مشابه
Mean Field and N-agent Games for Optimal Investment under Relative Performance Criteria
We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common time horizon in log-normal markets. We construct explicit time-independent equilibrium strategies for both the finite population games and the corresponding mean field games, which we show are unique in the class of time-independent eq...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2019
ISSN: 0960-1627,1467-9965
DOI: 10.1111/mafi.12206