Portfolio selection in contests

DOI10.1137/24M1686358MaRDI QIDQ6832450zbMATH OpenFDO

Authors Yumin Lu, Alex S. L. Tse

Publication date 2 April 2026

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

Nash equilibriumportfolio selectioncontestsrelative performanceconstant-sum gamemartingale dualityreward design

Mathematics Subject Classification ID

Decision theory (91B06) Portfolio theory (91G10) Noncooperative games (91A10) (n)-person games, (n>2) (91A06)

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