Mean field and n-agent games for optimal investment under relative performance criteria
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Publication:5204849
DOI10.1111/MAFI.12206zbMATH Open1433.91158arXiv1703.07685OpenAlexW2963791270MaRDI QIDQ5204849FDOQ5204849
Authors: Daniel Lacker, Thaleia Zariphopoulou 
Publication date: 5 December 2019
Published in: Mathematical Finance (Search for Journal in Brave)
Abstract: We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common investment horizon in log-normal markets. We construct explicit constant equilibrium strategies for both the finite population games and the corresponding mean field games, which we show are unique in the class of constant equilibria. In the CARA case, competition drives agents to invest more in the risky asset than they would otherwise, while in the CRRA case competitive agents may over- or under-invest, depending on their levels of risk tolerance.
Full work available at URL: https://arxiv.org/abs/1703.07685
Recommendations
competitiongeometric Brownian motionHJB equationNash equilibriumgeometric meanoptimal portfoliorisk tolerancemean field gameCRRACARA
Applications of game theory (91A80) Portfolio theory (91G10) Optimal stochastic control (93E20) Mean field games (aspects of game theory) (91A16)
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