Many-player games of optimal consumption and investment under relative performance criteria

DOI10.1007/s11579-019-00255-9zbMath1437.91057arXiv1905.11782OpenAlexW2996934105WikidataQ126413010 ScholiaQ126413010MaRDI QIDQ2175463

Daniel Lacker, Agathe Soret

Publication date: 29 April 2020

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.11782

zbMATH Keywords

mean field gamesoptimal investment and consumptionrelative performanceMerton problem

Mathematics Subject Classification ID

Applications of game theory (91A80) (n)-person games, (n>2) (91A06) Portfolio theory (91G10) Mean field games (aspects of game theory) (91A16)

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