Lose oneself in comparison: an investment and consumption game between two agents

DOI10.1016/J.ORL.2021.03.007OpenAlexW3140163857MaRDI QIDQ2060544

Jing Xu

Publication date: 13 December 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2021.03.007

zbMATH Keywords

Nash equilibriumconsumptionportfolio choicesocial comparison

Mathematics Subject Classification ID

Computer science (68-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Social comparison with ambiguity: an investment and consumption game

Cites Work

• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Game-Theoretic Optimal Portfolios
• Stochastic differential portfolio games

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