Mean field and n ‐agent games for optimal investment under relative performance criteria
Author:
Affiliation:
1. Industrial Engineering & Operations Research Columbia University New York
2. Departments of Mathematics and IROM The University of Texas at Austin Austin Texas
3. The Mathematical Institute University of Oxford Oxford UK
Funder
National Science Foundation
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12206
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3. Basak S. &Makarov D.(2015).Competition among portfolio managers and asset specialization Paris December 2014 Finance Meeting EUROFIDAI‐AFFI Paper.
4. The Master equation in mean field theory
5. Linear-Quadratic Mean Field Games
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