Mean field portfolio games
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Publication:2111248
DOI10.1007/S00780-022-00492-9zbMATH Open1505.91059arXiv2106.06185OpenAlexW4312200481MaRDI QIDQ2111248FDOQ2111248
Publication date: 28 December 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Abstract: We study mean field portfolio games with random market parameters, where each player is concerned with not only her own wealth but also relative performance to her competitors. We use the martingale optimality principle approach to characterize the unique Nash equilibrium in terms of a mean field FBSDE with quadratic growth, which is solvable under a weak interaction assumption. Motivated by the weak interaction assumption, we establish an asymptotic expansion result in powers of the competition parameter. When the market parameters do not depend on the Brownian paths, we obtain the Nash equilibrium in closed form.
Full work available at URL: https://arxiv.org/abs/2106.06185
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Applications of game theory (91A80) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Mean field games (aspects of game theory) (91A16)
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Cited In (10)
- Mean-Field Game Strategies for Optimal Execution
- Nash equilibria for relative investors with (non)linear price impact
- Nash equilibria for relative investors via no-arbitrage arguments
- Gaming Performance Fees By Portfolio Managers
- A mean field game approach to equilibrium consumption under external habit formation
- Time-inconsistent mean field and \(n\)-agent games under relative performance criteria
- Mean field portfolio games with consumption
- A mean field game approach to relative investment-consumption games with habit formation
- A mean field game approach to optimal investment and risk control for competitive insurers
- Portfolio decisions as games
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