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Forward Utilities and Mean-Field Games Under Relative Performance Concerns · Study

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ChapterForward Utilities and Mean-Field Games Under Relative Performance Concerns

Gonçalo dos Reis2021

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Chaptergreen2021

Forward Utilities and Mean-Field Games Under Relative Performance Concerns

Gonçalo dos Reis · Vadim A. Platonov

17 citations·0/0 files stored·Springer proceedings in mathematics & statistics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2006Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle 2013Mean Field Games and Mean Field Type Control Theory 2019The Master Equation and the Convergence Problem in Mean Field Games 2019The Master Equation and the Convergence Problem in Mean Field Games 2013OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS 2019Mean field and n‐agent games for optimal investment under relative performance criteria 2009Portfolio choice under dynamic investment performance criteria 2010Portfolio Choice under Space-Time Monotone Performance Criteria

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Details

Year2021

Typechapter

Published2021-01-01

VenueSpringer proceedings in mathematics & statistics

ISSN-L2194-1009

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-030-69784-6_11

openalex_workW3027832111

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