Mean field and n‐agent games for optimal investment under relative performance criteria

DOI10.1111/mafi.12206zbMath1433.91158arXiv1703.07685OpenAlexW2963791270MaRDI QIDQ5204849

Thaleia Zariphopoulou, Daniel Lacker

Publication date: 5 December 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.07685

zbMATH Keywords

competition Nash equilibrium geometric mean HJB equation optimal portfolio geometric Brownian motion risk tolerance mean field game CRRA CARA

Mathematics Subject Classification ID

Applications of game theory (91A80) Optimal stochastic control (93E20) Portfolio theory (91G10) Mean field games (aspects of game theory) (91A16)

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