Mean field portfolio games with consumption
From MaRDI portal
Publication:2690072
DOI10.1007/s11579-022-00328-2OpenAlexW4312106738MaRDI QIDQ2690072
Publication date: 15 March 2023
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2206.05425
Applications of game theory (91A80) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Mean field games (aspects of game theory) (91A16)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Mean field games
- A financial market with interacting investors: does an equilibrium exist?
- Mean field portfolio games
- Many-player games of optimal consumption and investment under relative performance criteria
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Utility maximization in incomplete markets
- Probabilistic Analysis of Mean-Field Games
- OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS
- Competition in Fund Management and Forward Relative Performance Criteria
- 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
- OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
- Probabilistic Theory of Mean Field Games with Applications II
