OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

DOI10.1111/mafi.12034zbMath1403.91310OpenAlexW1491976841MaRDI QIDQ5247420

Nizar Touzi, Gilles-Edouard Espinosa

Publication date: 24 April 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12034

zbMATH Keywords

stochastic differential equationsNash equilibriumportfolio optimizationutility optimizationmulti-agent stochastic game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) (n)-person games, (n>2) (91A06) Utility theory (91B16) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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