Mean field portfolio games
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Publication:2111248
DOI10.1007/S00780-022-00492-9zbMATH Open1505.91059arXiv2106.06185OpenAlexW4312200481MaRDI QIDQ2111248FDOQ2111248
Authors: Guanxing Fu, Chao Zhou 
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 (24)
- Forward utility and market adjustments in relative investment-consumption games of many players
- Mean field and \(n\)-agent games for optimal investment under relative performance criteria
- Relative performance concerns among investment managers
- Mean-Field Game Strategies for Optimal Execution
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- Many-player games of optimal consumption and investment under relative performance criteria
- A mean field game approach to optimal investment and risk control for competitive insurers
- Portfolio decisions as games
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