Mean field and <i>n</i>‐agent games for optimal investment under relative performance criteria (Q5204849)
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scientific article; zbMATH DE number 7140540
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean field and <i>n</i>‐agent games for optimal investment under relative performance criteria |
scientific article; zbMATH DE number 7140540 |
Statements
Mean field and <i>n</i>‐agent games for optimal investment under relative performance criteria (English)
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5 December 2019
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mean field game
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competition
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geometric Brownian motion
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Nash equilibrium
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CARA
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CRRA
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optimal portfolio
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HJB equation
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risk tolerance
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geometric mean
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