Mean field and n‐agent games for optimal investment under relative performance criteria
By Daniel Lacker, Thaleia Zariphopoulou. Mathematical Finance, 2017
170 citations recorded by the source corpus.
We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common investment horizon in log‐normal markets. We construct explicit constant equilibrium strategies for both the finite population games and the corresponding mean field games, which we show are unique in the class of constant equilibria. In the CARA case, competition drives agents to invest more in the risky asset than they would otherwise, while in the CRRA case competitive agents may over‐ or underinvest, depending on their levels of risk tolerance.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/13fd91ec138ee1f648ef7ff36ec85c434a70bcee
How researchers see this paper
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In Economics and Econometrics
- Agathe Soret
- Daniel Lacker
- Markus Fischer
- Franccois Delarue
- René A. Carmona
- François Delarue
- Rinel Foguen Tchuendom
In Finance
- Agathe Soret
- Daniel Lacker
- Markus Fischer
- Franccois Delarue
- René A. Carmona
- François Delarue
- Rinel Foguen Tchuendom
Citations in the corpus
- Many-player games of optimal consumption and investment under relative performance criteria (2019, methodology): “The most closely related works to ours, after [21], are [2, 3, 5, 11, 12, 14].”