Dynamic asset allocation with relative wealth concerns in incomplete markets

DOI10.1016/j.jedc.2020.103857OpenAlexW3124315008MaRDI QIDQ2181530

Holger Kraft, André Meyer-Wehmann, Frank Thomas Seifried

Publication date: 19 May 2020

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103857

zbMATH Keywords

incomplete marketsstochastic differential gameverification theoremportfolio choicesocial preferencesgrowth optimal portfoliostochastic opportunity setfund manager

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

N-Player and Mean-Field Games in Itˆo-Diffusion Markets with Competitive or Homophilous Interaction ⋮ Relative performance evaluation for dynamic contracts in a large competitive market ⋮ Nash equilibria for relative investors via no-arbitrage arguments

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