相关论文: Mean Field Game of Optimal Tracking Portfolio

This paper studies the mean field game (MFG) and N-player game on relative performance portfolio management with two heterogeneous populations. In addition to the Brownian idiosyncratic and common noise, the first population invests in…

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 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…

Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…

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…

This paper studies mean field game (MFG) of controls by featuring the joint distribution of the state and the control with the reflected state process along an exogenous stochastic reflection boundary. We contribute to the literature with a…

In this paper, we present a model of a game among teams. Each team consists of a homogeneous population of agents. Agents within a team are cooperative while the teams compete with other teams. The dynamics and the costs are coupled through…

In this paper, we investigate the interaction of two populations with a large number of indistinguishable agents. The problem consists in two levels: the interaction between agents of a same population, and the interaction between the two…

Subject to reasonable conditions, in large population stochastic dynamics games, where the agents are coupled by the system's mean field (i.e. the state distribution of the generic agent) through their nonlinear dynamics and their nonlinear…

This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expected utility or mean-variance criteria for excess logarithmic…

We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its expected payoff against the worst-case transitions within…

In this paper, we consider a mean field game (MFG) with a major and $N$ minor agents. We first consider the limiting problem and allow the coefficients to vary with the conditional distribution in a nonlinear way. We use the stochastic…

In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of…

This paper investigates a mean-field game (MFG) problem for mean-variance (MV) portfolio management, highlighting a new type of relative performance encoded by the peer-based risk aversion. Specifically, the risk aversion is formulated as a…

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…

Mean field games have traditionally been defined~[1,2] as a model of large scale interaction of players where each player has a private type that is independent across the players. In this paper, we introduce a new model of mean field teams…

We propose a mean field game (MFG) framework to model the evolution of renewable energy production in competitive electricity markets. Producers interact through the spot price while optimising their profits under production, installation,…

This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for the mean-field game (MFG) and presents sensitivity analysis…

Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical setting, the number of players is large but fixed throughout…

We use the Markov chain approximation method to construct approximations for the solution of the mean field game (MFG) with reflecting barriers studied in Bayraktar, Budhiraja, and Cohen (2017). The MFG is formulated in terms of a…