Dynamic asset allocation with relative wealth concerns in incomplete markets
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Publication:2181530
DOI10.1016/j.jedc.2020.103857OpenAlexW3124315008MaRDI QIDQ2181530
Holger Kraft, André Meyer-Wehmann, Frank Thomas Seifried
Publication date: 19 May 2020
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103857
incomplete marketsstochastic differential gameverification theoremportfolio choicesocial preferencesgrowth optimal portfoliostochastic opportunity setfund manager
Related Items (3)
N-Player and Mean-Field Games in Itˆo-Diffusion Markets with Competitive or Homophilous Interaction ⋮ Relative performance evaluation for dynamic contracts in a large competitive market ⋮ Nash equilibria for relative investors via no-arbitrage arguments
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