Markowitz Portfolio Optimization Extended Quadratic Mean-Field Games Approach
Author:
Affiliation:
1. McGill University,Department of Electrical and Computer Engineering,Montreal,QC,Canada,3480
Publisher
IEEE
Link
http://xplorestaging.ieee.org/ielx7/9992315/9992317/09993210.pdf?arnumber=9993210
Reference27 articles.
1. Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
2. Extended Deterministic Mean-Field Games
3. Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
4. Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle;huang;Commun Inf Syst,2006
5. Mean Field Games Models—A Brief Survey
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