Equilibrium Pricing Under Relative Performance Concerns

DOI10.1137/16M1082536zbMath1367.91200arXiv1511.04218OpenAlexW2949258620MaRDI QIDQ5280244

Jana Bielagk, Arnaud Lionnet, Gonçalo dos Reis

Publication date: 20 July 2017

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

Full work available at URL: https://arxiv.org/abs/1511.04218

zbMATH Keywords

financial innovationsocial interactionsequilibrium pricingrepresentative agententropic risk\(g\)-conditional risk measuremultidimensional quadratic BSDEperformance concerns

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Noncooperative games (91A10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

Related Items (7)

Competition in Fund Management and Forward Relative Performance Criteria ⋮ Many-player games of optimal consumption and investment under relative performance criteria ⋮ Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players ⋮ Fund managers' competition for investment flows based on relative performance ⋮ On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications ⋮ A stability approach for solving multidimensional quadratic BSDEs ⋮ Multidimensional Markovian FBSDEs with super-quadratic growth

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