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Mean field and n‐agent games for optimal investment under relative performance criteria

Citations

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Cited by:

  1. Han, Jinhui & Ma, Guiyuan & Yam, Sheung Chi Phillip, 2022. "Relative performance evaluation for dynamic contracts in a large competitive market," European Journal of Operational Research, Elsevier, vol. 302(2), pages 768-780.
  2. Guanxing Fu, 2022. "Mean Field Portfolio Games with Consumption," Papers 2206.05425, arXiv.org, revised Dec 2022.
  3. Nicole Tianjiao Yang & Tomoyuki Ichiba, 2023. "Relative Arbitrage Opportunities in an Extended Mean Field System," Papers 2311.02690, arXiv.org, revised Nov 2025.
  4. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  5. Neha Deopa & Daniele Rinaldo, 2023. "Sacred Ecology," Papers 2401.13673, arXiv.org, revised Dec 2025.
  6. Nicole Bauerle & Tamara Goll, 2025. "Relative portfolio optimization via a value at risk based constraint," Papers 2503.20340, arXiv.org, revised Jun 2025.
  7. Qian Lei & Chi Seng Pun, 2021. "Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games," Papers 2112.14409, arXiv.org, revised Sep 2023.
  8. Robert Balkin & Hector D. Ceniceros & Ruimeng Hu, 2023. "Stochastic Delay Differential Games: Financial Modeling and Machine Learning Algorithms," Papers 2307.06450, arXiv.org.
  9. Sema Coskun & Ralf Korn, 2025. "A mean field game model for optimal trading in the intraday electricity market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 269-299, June.
  10. Guohui Guan & Jiaqi Hu & Zongxia Liang, 2025. "N-player and mean field games among fund managers considering excess logarithmic returns," Papers 2503.02722, arXiv.org.
  11. Ming Min & Ruimeng Hu, 2021. "Signatured Deep Fictitious Play for Mean Field Games with Common Noise," Papers 2106.03272, arXiv.org.
  12. Burcu Aydoğan & Mogens Steffensen, 2025. "Optimal investment strategies under the relative performance in jump-diffusion markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 179-204, June.
  13. Masaaki Fujii & Masashi Sekine, 2023. "Mean-field Equilibrium Price Formation with Exponential Utility," CIRJE F-Series CIRJE-F-1210, CIRJE, Faculty of Economics, University of Tokyo.
  14. Kraft, Holger & Meyer-Wehmann, André & Seifried, Frank Thomas, 2022. "Endogenous habits and equilibrium asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 279-300.
  15. Guojiang Shao & Zuo Quan Xu & Qi Zhang, 2025. "Competitive optimal portfolio selection under mean-variance criterion," Papers 2511.05270, arXiv.org.
  16. Guanxing Fu, 2023. "Mean field portfolio games with consumption," Mathematics and Financial Economics, Springer, volume 17, number 4, December.
  17. Guanxing Fu & Chao Zhou, 2021. "Mean Field Portfolio Games," Papers 2106.06185, arXiv.org, revised Apr 2022.
  18. Masaaki Fujii & Masashi Sekine, 2023. "Mean-field equilibrium price formation with exponential utility," CARF F-Series CARF-F-559, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  19. Huainian Zhu & Sihan Huang & Ning Bin, 2025. "Robust Non-zero-sum Asset Allocation Games Under Relative Wealth Concerns," Annals of Economics and Finance, Society for AEF, vol. 26(1), pages 415-441, May.
  20. Lijun Bo & Yijie Huang & Xiang Yu, 2025. "Mean Field Game of Optimal Tracking Portfolio," Papers 2505.01858, arXiv.org, revised Dec 2025.
  21. Gu Wang & Jiaxuan Ye, 2023. "Fund Managers’ Competition for Investment Flows Based on Relative Performance," Journal of Optimization Theory and Applications, Springer, vol. 198(2), pages 605-643, August.
  22. Ng, Kenneth Tsz Hin & Chong, Wing Fung, 2024. "Optimal investment in defined contribution pension schemes with forward utility preferences," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 192-211.
  23. Nicole Bäuerle & Tamara Göll, 2024. "Nash equilibria for relative investors with (non)linear price impact," Mathematics and Financial Economics, Springer, volume 18, number 2, December.
  24. Pengyan Huang & Guangchen Wang & Shujun Wang, 2025. "Pareto Game of Stochastic Differential System with Terminal State Constraint," Journal of Optimization Theory and Applications, Springer, vol. 205(1), pages 1-30, April.
  25. Ruimeng Hu & Thaleia Zariphopoulou, 2021. "$N$-player and Mean-field Games in It\^{o}-diffusion Markets with Competitive or Homophilous Interaction," Papers 2106.00581, arXiv.org, revised Jun 2021.
  26. Whitmeyer, Mark, 2023. "Submission costs in risk-taking contests," Games and Economic Behavior, Elsevier, vol. 142(C), pages 101-112.
  27. Masaaki Fujii & Masashi Sekine, 2023. "Mean-field equilibrium price formation with exponential utility," Papers 2304.07108, arXiv.org, revised Jan 2025.
  28. Zhang, Yumo & Zhu, Huainian, 2025. "Robust non-zero-sum investment–consumption games under multivariate stochastic covariance models," The Quarterly Review of Economics and Finance, Elsevier, vol. 100(C).
  29. Alessandro Micheli & Johannes Muhle-Karbe & Eyal Neuman, 2021. "Closed-Loop Nash Competition for Liquidity," Papers 2112.02961, arXiv.org, revised Jun 2023.
  30. Guan, Guohui & Hu, Xiang, 2022. "Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  31. Zongxia Liang & Keyu Zhang, 2023. "Time-inconsistent mean field and n-agent games under relative performance criteria," Papers 2312.14437, arXiv.org, revised Apr 2024.
  32. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
  33. Wang, Ning & Zhang, Yumo, 2025. "Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility," Insurance: Mathematics and Economics, Elsevier, vol. 124(C).
  34. Panagiotis E. Souganidis & Thaleia Zariphopoulou, 2024. "Mean field games with unbounded controlled common noise in portfolio management with relative performance criteria," Mathematics and Financial Economics, Springer, volume 18, number 10, December.
  35. Dianetti, Jodi & Riedel, Frank & Stanza, Lorenzo, 2024. "Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility," Center for Mathematical Economics Working Papers 685, Center for Mathematical Economics, Bielefeld University.
  36. Guanxing Fu & Xizhi Su & Chao Zhou, 2020. "Mean Field Exponential Utility Game: A Probabilistic Approach," Papers 2006.07684, arXiv.org, revised Jul 2020.
  37. Guanxing Fu & Chao Zhou, 2023. "Mean field portfolio games," Finance and Stochastics, Springer, vol. 27(1), pages 189-231, January.
  38. Mark Whitmeyer, 2021. "Submission Fees in Risk-Taking Contests," Papers 2108.13506, arXiv.org.
  39. Lijun Bo & Shihua Wang & Xiang Yu, 2021. "Mean Field Game of Optimal Relative Investment with Jump Risk," Papers 2108.00799, arXiv.org, revised Feb 2023.
  40. Eduardo Abi Jaber & Eyal Neuman & Moritz Vo{ss}, 2023. "Equilibrium in Functional Stochastic Games with Mean-Field Interaction," Papers 2306.05433, arXiv.org, revised Feb 2024.
  41. Ludovic Tangpi & Xuchen Zhou, 2022. "Optimal Investment in a Large Population of Competitive and Heterogeneous Agents," Papers 2202.11314, arXiv.org, revised Feb 2023.
  42. Goncalo dos Reis & Vadim Platonov, 2020. "Forward utility and market adjustments in relative investment-consumption games of many players," Papers 2012.01235, arXiv.org, revised Mar 2022.
  43. Kenneth Tsz Hin Ng & Wing Fung Chong, 2023. "Optimal Investment in Defined Contribution Pension Schemes with Forward Utility Preferences," Papers 2303.08462, arXiv.org, revised Sep 2023.
  44. Man Li & Ying Huang & Ya Huang & Jieming Zhou, 2024. "Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction," Mathematics and Financial Economics, Springer, volume 18, number 3, December.
  45. Michail Anthropelos & Tianran Geng & Thaleia Zariphopoulou, 2020. "Competition in Fund Management and Forward Relative Performance Criteria," Papers 2011.00838, arXiv.org.
  46. Chao Deng & Xizhi Su & Chao Zhou, 2020. "Relative wealth concerns with partial information and heterogeneous priors," Papers 2007.11781, arXiv.org.
  47. Guohui Guan & Zongxia Liang, 2026. "Robust n-Agent Heterogeneous Investment-Consumption Game Under $$\alpha $$ α -Maxmin Mean-Variance-Utility Criterion," Journal of Optimization Theory and Applications, Springer, vol. 208(1), pages 1-38, January.
  48. Yu-Jui Huang & Shihao Zhu, 2025. "Mean-Variance Stackelberg Games with Asymmetric Information," Papers 2509.03669, arXiv.org.
  49. Li-Hsien Sun, 2022. "Mean Field Games with Heterogeneous Groups: Application to Banking Systems," Journal of Optimization Theory and Applications, Springer, vol. 192(1), pages 130-167, January.
  50. Nicole Bäuerle & Tamara Göll, 2023. "Nash equilibria for relative investors via no-arbitrage arguments," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 97(1), pages 1-23, February.
  51. Li-Hsien Sun, 2019. "Systemic Risk and Heterogeneous Mean Field Type Interbank Network," Papers 1907.03082, arXiv.org, revised Sep 2019.
  52. Tomoyuki Ichiba & Nicole Tianjiao Yang, 2020. "Relative Arbitrage Opportunities with Interactions among $N$ Investors," Papers 2006.15158, arXiv.org, revised Jul 2024.
  53. Bo, Lijun & Wang, Shihua & Yu, Xiang, 2024. "A mean field game approach to equilibrium consumption under external habit formation," Stochastic Processes and their Applications, Elsevier, vol. 178(C).
  54. Nicole Bauerle & Tamara Goll, 2023. "Nash equilibria for relative investors with (non)linear price impact," Papers 2303.18161, arXiv.org, revised Apr 2024.
  55. Guanxing Fu & Ulrich Horst, 2025. "Mean Field Portfolio Games with Epstein-Zin Preferences," Rationality and Competition Discussion Paper Series 540, CRC TRR 190 Rationality and Competition.
  56. Lijun Bo & Shihua Wang & Xiang Yu, 2022. "A mean field game approach to equilibrium consumption under external habit formation," Papers 2206.13341, arXiv.org, revised Mar 2024.
  57. Laurière, Mathieu & Tangpi, Ludovic & Zhou, Xuchen, 2025. "A deep learning method for optimal investment under relative performance criteria among heterogeneous agents," European Journal of Operational Research, Elsevier, vol. 326(3), pages 615-629.
  58. Guohui Guan & Jiaqi Hu & Zongxia Liang, 2025. "N-player and mean field games among fund managers considering excess logarithmic returns," Annals of Operations Research, Springer, vol. 349(3), pages 1663-1691, June.
  59. Célia Escribe & Josselin Garnier & Emmanuel Gobet, 2024. "A Mean Field Game Model for Renewable Investment Under Long-Term Uncertainty and Risk Aversion," Dynamic Games and Applications, Springer, vol. 14(5), pages 1093-1130, November.
  60. Yu-Jui Huang & Li-Hsien Sun, 2023. "Partial Information in a Mean-Variance Portfolio Selection Game," Papers 2312.04045, arXiv.org, revised Sep 2025.
  61. Cao, Haoyang & Guo, Xin, 2022. "MFGs for partially reversible investment," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 995-1014.
  62. Jeong Yin Park, 2022. "Optimal portfolio selection of many players under relative performance criteria in the market model with random coefficients," Papers 2209.07411, arXiv.org.
  63. Chao Deng & Xizhi Su & Chao Zhou, 2024. "Peer effect and dynamic ALM games among insurers," Mathematics and Financial Economics, Springer, volume 18, number 11, December.
  64. Guanxing Fu & Ulrich Horst, 2025. "Mean Field Portfolio Games with Epstein-Zin Preferences," Papers 2505.07231, arXiv.org.
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