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Forward Utilities and Mean-Field Games Under Relative Performance Concerns
16 references·0 citing·42 second hop
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References

  • 2006Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle1,574 cited
  • 2013Mean Field Games and Mean Field Type Control Theory761 cited
  • 2019The Master Equation and the Convergence Problem in Mean Field Games219 cited
  • 2019The Master Equation and the Convergence Problem in Mean Field Games198 cited
  • 2013OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS156 cited
  • 2019Mean field and n‐agent games for optimal investment under relative performance criteria122 cited
  • 2009Portfolio choice under dynamic investment performance criteria107 cited
  • 2010Portfolio Choice under Space-Time Monotone Performance Criteria87 cited
  • 2011A financial market with interacting investors: does an equilibrium exist?78 cited
  • 2017Mean Field Games of Timing and Models for Bank Runs76 cited
  • 2010Stochastic Partial Differential Equations and Portfolio Choice75 cited
  • 2007Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model73 cited
  • 2020Many-player games of optimal consumption and investment under relative performance criteria60 cited
  • 2009A dual characterization of self-generation and exponential forward performances55 cited

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2013
On the Realized Risk of High-Dimensional Markowitz Portfolios
51 cited
  • 2008Optimal Asset Allocation under Forward Exponential Performance Criteria46 cited
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