scientific article; zbMATH DE number 7809949

DOI10.3969/J.ISSN.1001-4268.2023.05.005MaRDI QIDQ6121721

Yiping Qian, Xiang Lin, Unnamed Author

Publication date: 27 February 2024

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

certainty equivalentexponential utility functionrelative returnabsolute returnNash equilibrium investment strategies

Mathematics Subject Classification ID

Other game-theoretic models (91A40) Stochastic games, stochastic differential games (91A15)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
• Continuous-time stochastic control and optimization with financial applications
• A financial market with interacting investors: does an equilibrium exist?
• Relative performance concerns among investment managers
• Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
• Stochastic differential portfolio games
• OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

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