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Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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INTERTEMPORAL SUBSTITUTION IN CONSUMPTION: A LITERATURE REVIEW

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OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

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inferredcites →https://doi.org/10.48550/arxiv.2006.07684openalex-snapshot

Mean Field Exponential Utility Game: A Probabilistic Approach

inferredcites →https://doi.org/10.48550/arxiv.2007.11781openalex-snapshot

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What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management

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Optimal investment in a large population of competitive and heterogeneous agents

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Optimal investment strategies under the relative performance in jump-diffusion markets

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Mean field portfolio games with consumption

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Nash equilibria for relative investors with (non)linear price impact

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A mean field game approach to relative investment–consumption games with habit formation

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Mean field games with unbounded controlled common noise in portfolio management with relative performance criteria

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Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets

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A deep learning method for optimal investment under relative performance criteria among heterogeneous agents

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Optimal investment in defined contribution pension schemes with forward utility preferences

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Robust non-zero-sum investment–consumption games under multivariate stochastic covariance models

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A mean field game approach to equilibrium consumption under external habit formation

inferred← citeshttps://doi.org/10.1137/24m1655044openalex-snapshot

Multiagent Relative Investment Games in a Jump Diffusion Market with Deep Reinforcement Learning Algorithm

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Competition between Asset Managers over Relative Performance Fees

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Time-Consistent Investment Strategies for Relative Investment Games Under Ambiguity Aversion

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Time-consistent pension policy with minimum guarantee and sustainability constraint

inferred← citeshttps://doi.org/10.48550/arxiv.2303.18161openalex-snapshot

Nash equilibria for relative investors with (non)linear price impact

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Decision-making and dynamic preferences : theory and numerical approximation

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