Related papers: Optimal investment and consumption under forward u…
This paper studies an optimal investment-consumption problem for competitive agents with exponential or power utilities and a common finite time horizon. Each agent regards the average of habit formation and wealth from all peers as…
We study a portfolio optimization problem for competitive agents with CRRA utilities and a common finite time horizon. The utility of an agent depends not only on her absolute wealth and consumption but also on her relative wealth and…
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…
We consider existence and uniqueness of Nash equilibria in an $N$-player game of utility maximization under relative performance criteria of multiplicative form in complete semimartingale markets. For a large class of players' utility…
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…
This paper studies the n-player game and the mean field game under the CRRA relative performance on terminal wealth, in which the interaction occurs by peer competition. In the model with n agents, the price dynamics of underlying risky…
In this paper, we propose a new class of optimization problems, which maximize the terminal wealth and accumulated consumption utility subject to a mean variance criterion controlling the final risk of the portfolio. The multiple-objective…
We introduce the concept of mean field games for agents using Forward utilities of CARA type to study a family of portfolio management problems under relative performance concerns. Under asset specialization of the fund managers, we solve…
Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment. We solved the model under a game theoretic framework and…
We study mean field portfolio games with consumption. For general market parameters, we establish a one-to-one correspondence between Nash equilibria of the game and solutions to some FBSDE, which is proved to be equivalent to some BSDE.…
This paper develops the first closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize…
We study mean field portfolio games under Epstein-Zin preferences, which naturally encompass the classical time-additive power utility as a special case. In a general non-Markovian framework, we establish a uniqueness result by proving a…
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…
In this paper, we study the portfolio optimization problem formulated by Lacker and Soret. They formulate a finite time horizon model that allows agents to be competitive, measuring their utility not only by their absolute wealth but also…
We construct Nash-equilibria in mean-field portfolio games of optimal investment and hedging under relative performance concerns with exponential (CARA) utility preferences. Common noise dynamics are modeled by integer-valued random…
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…
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market model due to general investment portfolio constraints. We…
This paper studies the equilibrium consumption under external habit formation in a large population of agents. We first formulate problems under two types of conventional habit formation preferences, namely linear and multiplicative…
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…
This paper considers consumption and portfolio optimization problems with recursive preferences in both infinite and finite time regions. Specially, the financial market consists of a risk-free asset and a risky asset that follows a general…