Optimal portfolio with relative performance and partial information: a mean-field game approach
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Cites work
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- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
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- Mean field and n-agent games for optimal investment under relative performance criteria
- Mean field games
- Mean field linear-quadratic control: uniform stabilization and social optimality
- Mean‐Variance Portfolio Selection under Partial Information
- OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
- Optimal investment under relative performance concerns
- Optimal trading strategy for an investor: the case of partial information
- Optimum consumption and portfolio rules in a continuous-time model
- Probabilistic analysis of mean-field games
- Risk-Sensitive Mean-Field Games
- Risk‐sensitive benchmarked asset management with expert forecasts
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Cited in
(5)- Relative wealth concerns with partial information and heterogeneous priors
- Mean field games with unbounded controlled common noise in portfolio management with relative performance criteria
- Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
- Mean-field linear-quadratic nonzero sum stochastic differential games with overlapping information
- Robust portfolio game under relative performance and state-dependent confidence sets
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