Relative performance concerns among investment managers

DOI10.1007/S10436-019-00343-2zbMATH Open1417.91485OpenAlexW2911713863WikidataQ128427995 ScholiaQ128427995MaRDI QIDQ2000688FDOQ2000688

Authors: Mark Whitmeyer 

Publication date: 28 June 2019

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-019-00343-2

Recommendations

• Mean field and \(n\)-agent games for optimal investment under relative performance criteria
• Optimal investment under relative performance concerns
• Mean field portfolio games
• Equilibrium Pricing Under Relative Performance Concerns
• Many-player games of optimal consumption and investment under relative performance criteria

zbMATH Keywords

portfolio choicebehavioral financecontinuous-time financerelative concerns

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) (n)-person games, (n>2) (91A06)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Information acquisition and under-diversification
• Stochastic differential portfolio games
• OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
• Preference and belief: ambibiguity and competence in choice under uncertainty
• Equity Portfolio Diversification*
• Book Review: Embeddings in manifolds
• Mean field and n‐agent games for optimal investment under relative performance criteria

Cited In (6)

• Submission costs in risk-taking contests
• Nash equilibria for relative investors via no-arbitrage arguments
• N-Player and Mean-Field Games in Itˆo-Diffusion Markets with Competitive or Homophilous Interaction
• Gaming Performance Fees By Portfolio Managers
• Investment and concern for relative position
• Title not available (Why is that?)

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