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)

Full work available at URL https://doi.org/10.1137/24M1686358

zbMATH Keywords

constant-sum gamecontestsmartingale dualityNash equilibriumportfolio selectionrelative performancereward design

Mathematics Subject Classification ID

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

Cites work

• A Mean Field Competition
• Co-monotonicity of optimal investments and the design of structured financial products
• Continuous time contests with private information
• Convex Analysis
• Erratum to ``Behavioral portfolio selection in continuous time
• Gambling in contests
• Gambling in contests modelled with diffusions
• Gambling in contests with random initial law
• Gambling in contests with regret
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Large ranking games with diffusion control
• Large tournament games
• Mean field and n-agent games for optimal investment under relative performance criteria
• Mean-field ranking games with diffusion control
• Optimal investment under relative performance concerns
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Relative performance concerns among investment managers
• Relative performance evaluation for dynamic contracts in a large competitive market
• Reward design in risk-taking contests
• Terminal ranking games
• Utility maximization with a given pricing measure when the utility is not necessarily concave

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