Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players

DOI10.1137/20M138421XzbMath1498.91385arXiv2012.01235OpenAlexW3108362745MaRDI QIDQ5097219

Vadim Platonov, Gonçalo dos Reis

Publication date: 22 August 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.01235

zbMATH Keywords

mean field gamesoptimal investment and consumptionrelative performanceelasticity of intertemporal substitutionforward performance criteriacommon noise Merton problem

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10) Mean field games (aspects of game theory) (91A16)

Related Items (5)

Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows ⋮ 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 ⋮ Mean field portfolio games

Cites Work

• Unnamed Item
• A dual characterization of self-generation and exponential forward performances
• On intertemporal preferences in continuous time. The case of certainty
• An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
• A financial market with interacting investors: does an equilibrium exist?
• Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
• Many-player games of optimal consumption and investment under relative performance criteria
• Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
• Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
• Horizon-unbiased utility functions
• An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
• Stochastic Partial Differential Equations and Portfolio Choice
• Forward indifference valuation of American options
• Portfolio Choice under Space-Time Monotone Performance Criteria
• Portfolio choice under dynamic investment performance criteria
• Stochastic Differential Utility
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Recursive utility using the stochastic maximum principle
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
• Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
• DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE
• Consistent utility of investment and consumption: a forward/backward SPDE viewpoint
• Black's Inverse Investment Problem and Forward Criteria with Consumption
• Mean field and n‐agent games for optimal investment under relative performance criteria
• OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
• Equilibrium Pricing Under Relative Performance Concerns
• Probabilistic Theory of Mean Field Games with Applications I
• Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
• Existence and structure of stochastic equilibria with intertemporal substitution

This page was built for publication: Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players