Relative wealth concerns with partial information and heterogeneous priors

DOI10.1137/22M1508625zbMATH Open1537.91282MaRDI QIDQ6542562FDOQ6542562

Authors: Chao Deng, Xizhi Su, Chao Zhou 

Publication date: 22 May 2024

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

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zbMATH Keywords

partial informationFBSDEportfolio allocationdeep neural networksrelative wealth concerns

Mathematics Subject Classification ID

Applications of game theory (91A80) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (1)

• Optimal investment in a large population of competitive and heterogeneous agents

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