Mean field portfolio games with consumption-Reference-Cited by-同舟云学术

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Mean field portfolio games with consumption

Published:2022-12-21 Issue:1 Volume:17 Page:79-99
ISSN:1862-9679
Container-title:Mathematics and Financial Economics
language:en
Short-container-title:Math Finan Econ

Author:

Fu Guanxing

Funder

NSFC

The Hong Kong RGC ECS

The Hong Kong Polytechnic University

Research Center for Quantitative Finance, The Hong Kong Polytechnic University

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s11579-022-00328-2.pdf

Reference16 articles.

1. Anthropelos, M., Geng, T., Zariphopoulou, T.: Competition in fund management and forward relative performance criteria. SIAM J. Financ. Math. 13(4), 1271–1301 (2022)

2. Carmona, R., Delarue, F.: Probabilistic Theory of Mean Field Games with Applications I–II. Springer (2018)

3. Carmona, R., Delarue, F.: Probabilistic analysis of mean-field games. SIAM J. Control Optim. 51(4), 2705–2734 (2013)

4. Cheridito, P., Hu, Y.: Optimal consumption and investment in incomplete markets with general constraints. Stochast. Dyn. 11(02n03), 283–299 (2011)

5. dos Reis, G., Platonov, V. (2021). Forward Utilities and Mean-Field Games Under Relative Performance Concerns. In: Bernardin, C., Golse, F., GonçSalves, P., Ricci, V., Soares, A.J. (eds) From Particle Systems to Partial Differential Equations. ICPS ICPS ICPS 2019 2018 2017. Springer Proceedings in Mathematics & Statistics, vol 352. Springer, Cham. https://doi.org/10.1007/978-3-030-69784-6_11

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