Related papers: Mean field equilibrium asset pricing model with ha…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
We introduce a mean field model for optimal holding of a representative agent of her peers as a natural expected scaling limit from the corresponding $N-$agent model. The induced mean field dynamics appear naturally in a form which is not…
This paper considers mean field games in a multi-agent Markov decision process (MDP) framework. Each player has a continuum state and binary action, and benefits from the improvement of the condition of the overall population. Based on an…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
In this paper, we use mean field games (MFGs) to investigate approximations of $N$-player games with uniformly symmetrically continuous heterogeneous closed-loop actions. To incorporate agents' risk aversion (beyond the classical expected…
We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become…
We study a class of dynamic decision problems of mean field type with time inconsistent cost functionals, and derive a stochastic maximum principle to characterize subgame perfect Nash equilibrium points. Subsequently, this approach is…
The theory of mean field games aims at studying deterministic or stochastic differential games (Nash equilibria) as the number of agents tends to infinity. Since very few mean field games have explicit or semi-explicit solutions, numerical…
The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HFTs are faster in the sense that they trade continuously and…
Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…
The goal of the paper is to introduce a formulation of the mean field game with major and minor players as a fixed point on a space of controls. This approach emphasizes naturally the role played by McKean-Vlasov dynamics in some of the…
We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form…
This paper analyzes and explicitly solves a class of long-term average impulse control problems with a specific mean-field interaction. The underlying process is a general one-dimensional diffusion with appropriate boundary behavior. The…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
We develop a mean-field theory of the growth, exchange and distribution (GED) model introduced by Kang et al. (preceding paper) that accurately describes the phase transition in the limit that the number of agents $N$ approaches infinity.…
We study stationary mean field games with singular controls in which the representative player interacts with a long-time weighted average of the population through a discounted and an ergodic performance criterion. This class of games…
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…
We consider a mean-field game model where the cost functions depend on a fixed parameter, called \textit{state}, which is unknown to players. Players learn about the state from a a stream of private signals they receive throughout the game.…
In this paper we study balanced growth path solutions of a Boltzmann mean field game model proposed by Lucas et al [13] to model knowledge growth in an economy. Agents can either increase their knowledge level by exchanging ideas in…