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Investors usually resort to financial advisors to improve their investment process until the point of complete delegation on investment decisions. Surely, financial advice is potentially a correcting factor in investment decisions but, in…
We investigate a portfolio selection problem involving multi competitive agents, each exhibiting mean-variance preferences. Unlike classical models, each agent's utility is determined by their relative wealth compared to the average wealth…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…
In this paper, we consider $n$ agents who invest in a general financial market that is free of arbitrage and complete. The aim of each investor is to maximize her expected utility while ensuring, with a specified probability, that her…
We investigate stochastic utility maximization games under relative performance concerns in both finite-agent and infinite-agent (graphon) settings. An incomplete market model is considered where agents with power (CRRA) utility functions…
We study mean field portfolio games with random market parameters, where each player is concerned with not only her own wealth but also relative performance to her competitors. We use the martingale optimality principle approach to…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…
We propose a multi-agent based computational framework for modeling decision-making and strategic interaction at micro level for smart vehicles in a smart world. The concepts of Markov game and best response dynamics are heavily leveraged.…
We study the optimal portfolio selection problem under relative performance criteria in the market model with random coefficients from the perspective of many players game theory. We consider five random coefficients which consist of three…
In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. The investment decision of investors,…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…
We establish a Nash equilibrium in a market with $ N $ agents with the performance criteria of relative wealth level when the market return is unobservable. Each investor has a random prior belief on the return rate of the risky asset. The…
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
Mean field game theory studies the behavior of a large number of interacting individuals in a game theoretic setting and has received a lot of attention in the past decade (Lasry and Lions, Japanese journal of mathematics, 2007). In this…
We consider a random financial network with a large number of agents. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the liabilities. The settlement of the debts of various…
We apply control theoretic and optimization techniques to adaptively design incentives. In particular, we consider the problem of a planner with an objective that depends on data from strategic decision makers. The planner does not know the…
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…