Optimal portfolio with relative performance and partial information: a mean-field game approach
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Publication:6583300
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Cites work
- scientific article; zbMATH DE number 49106 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- A Note On Utility Maximization Under Partial Observations1
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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
- Stochastic Hamilton–Jacobi–Bellman Equations
- Utility maximization with partial information
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