Nash equilibria for relative investors via no-arbitrage arguments

DOI10.1007/s00186-022-00804-xOpenAlexW3208014691MaRDI QIDQ2699026

Tamara Göll, Nicole Bäuerle

Publication date: 26 April 2023

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.02310

zbMATH Keywords

Nash equilibriumportfolio optimizationrelative investorsemimartingale market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Decision theory for games (91A35) Mean field games (aspects of game theory) (91A16)

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