Optimal portfolio with relative performance and partial information: a mean-field game approach
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Cites work
- A maximum principle for mean-field stochastic control system with noisy observation
- A mean field capital accumulation game with HARA utility
- A Note On Utility Maximization Under Partial Observations1
- An optimal consumption and investment problem with partial information
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- An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
- Asymptotically Optimal Decentralized Control for Large Population Stochastic Multiagent Systems
- Common risk factors in the returns on stocks and bonds
- Controlled Markov processes and viscosity solutions
- Dynamic optimization of large-population systems with partial information
- scientific article; zbMATH DE number 49106 (Why is no real title available?)
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Leader-follower mean field LQ games: a direct method
- 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
- Stochastic controls. Hamiltonian systems and HJB equations
- Stochastic Hamilton–Jacobi–Bellman Equations
- Utility maximization with partial information
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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