Mean Field and N-agent Games for Optimal Investment under Relative Performance Criteria
نویسندگان
چکیده
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 equilibria. In the CARA case, competition drives agents to invest more in the risky asset than they would otherwise, while in the CRRA case competitive agents may overor under-invest, depending on their levels of risk tolerance.
منابع مشابه
A multi-criteria decision making approach for priority areas selection in membrane industry for investment promotion: a case study in Iran Marketplace
Membrane technologies for the separation of mixtures have gained an extensive worldwide attraction in the modern industrialized world. They have many industrial and medical applications such as water desalination, wastewater reclamation, gas separation, food and medical applications. However, even though all these applications have their own efficiency and market, the selection of priority appl...
متن کاملOptimal Investment under Relative Performance Concerns ∗
We consider the problem of optimal investment when agents take into account their relative performance by comparison to their peers. Given N interacting agents, we consider the following optimization problem for agent i, 1 ≤ i ≤ N : sup π∈Ai EUi ( (1− λi)X i T + λi(X π T − X̄ i,π T ) ) , where Ui is the utility function of agent i, π i his portfolio, X i his wealth, X̄ the average wealth of his p...
متن کاملDilemma in two game structures for a closed-loop supply chain under the influence of government incentives
The government organizations grant incentives to promote green product consumption, improve green product quality, boost remanufacturing activities, etc. through various policies. The objective of this study is to highlight pros and cons of two incentive policies, namely (1) incentive on manufacturer’s R&D investment and (2) direct incentive to consumer based on greening level of the product on...
متن کاملUtilizing Generalized Learning Automata for Finding Optimal Policies in MMDPs
Multi agent Markov decision processes (MMDPs), as the generalization of Markov decision processes to the multi agent case, have long been used for modeling multi agent system and are used as a suitable framework for Multi agent Reinforcement Learning. In this paper, a generalized learning automata based algorithm for finding optimal policies in MMDP is proposed. In the proposed algorithm, MMDP ...
متن کاملMulti Attribute Investment Planning of a Grid-Connected Diesel/Wind/PV/Battery Hybrid Energy System
Recently, along with the depletion of fossil fuels and growing electrical requirements, more attention has been paid on utilizing Renewable Energy Sources (RESs). The Chichest tourism complex is located 20 km far from Orumieh, Iran which has been supplied through the main distribution grid connection. But, recently the trend is to expand the share of RESs in supplying microgrids demand. Hence, ...
متن کامل