OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (Q5247420)

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scientific article; zbMATH DE number 6430114
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English
OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
scientific article; zbMATH DE number 6430114

    Statements

    title
    OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (English)
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    author
    Nizar Touzi
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    publication date
    24 April 2015
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    zbMATH Keywords
    portfolio optimization
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    utility optimization
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    multi-agent stochastic game
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    Nash equilibrium
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    stochastic differential equations
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    cites work
    Mean field games
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    Identifiers

    DOI
    10.1111/mafi.12034
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    Mathematics Subject Classification ID
    91G10
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    91A06
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    91A15
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    91B16
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    60H10
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    zbMATH DE Number
    6430114
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    OpenAlex ID
    W1491976841
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