Competition in Fund Management and Forward Relative Performance Criteria
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Publication:5045200
DOI10.1137/20M1376169OpenAlexW3096052099MaRDI QIDQ5045200
Michail Anthropelos, Thaleia Zariphopoulou, Tianran Geng
Publication date: 4 November 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.00838
forward performance criteriaasset managers' competitionforward competitionforward Nash equilibriumforward relative performance criteriaNash equilibrium of asset management
Related Items (5)
Many-player games of optimal consumption and investment under relative performance criteria ⋮ Fund managers' competition for investment flows based on relative performance ⋮ Optimal investment in a large population of competitive and heterogeneous agents ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Mean field portfolio games with consumption
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