Relative wealth concerns with partial information and heterogeneous priors

DOI10.1137/22m1508625zbMath1537.91282MaRDI QIDQ6542562

Chao Zhou, Xizhi Su, Chao Deng

Publication date: 22 May 2024

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

zbMATH Keywords

partial informationFBSDEportfolio allocationdeep neural networksrelative wealth concerns

Mathematics Subject Classification ID

Applications of game theory (91A80) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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