Fetching the paper…
Reading the bibliography…
We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common investment horizon in log-normal markets.
G.H. Hardy, J.E. Littlewood, and G. Pólya, Inequalities , Cambridge university press, 1952
1952
Earlier work this paper cites.
R.C. Merton, Optimum consumption and portfolio rules in a continuous-time model , Journal of Economic Theory 3
1971
Earlier work this paper cites.
M.J. Brennan, The optimal number of securities in a risky asset portfolio when there are fixed costs of transacting: Theory and some empirical results , Journal of Financial and Quantitative analysis 10
1975
Earlier work this paper cites.
by same author, A simple model of capital market equilibrium with incomplete information , The Journal of Finance 42
1987
Earlier work this paper cites.
T.S. Kim and E. Omberg, Dynamic nonmyopic portfolio behavior , Review of financial studies 9
1996
Earlier work this paper cites.
J. Chevalier and G. Ellison, Risk taking by mutual funds as a response to incentives , Journal of Political Economy 105
1997
Earlier work this paper cites.
E.R. Sirri and P. Tufano, Costly search and mutual fund flows , The journal of finance 53
1998
Earlier work this paper cites.
S.J. Brown, W.N. Goetzmann, and J. Park, Careers and survival: Competition and risk in the hedge fund and CTA industry , The Journal of Finance 56
2001
Earlier work this paper cites.
W. Schachermayer, Optimal investment in incomplete markets when wealth may become negative , Annals of Applied Probability (2001), 694–734
2001
Earlier work this paper cites.
F. Delbaen, P. Grandits, T. Rheinländer, D. Samperi, M. Schweizer, and C. Stricker, Exponential hedging and entropic penalties , Mathematical finance 12
2002
Earlier work this paper cites.
V. Henderson, Valuation of claims on nontraded assets using utility maximization , Mathematical Finance 12
2002
Earlier work this paper cites.
V. Agarwal, N.D. Daniel, and N.Y. Naik, Flows, performance, and managerial incentives in hedge funds , EFA 2003 Annual Conference Paper No. 501, 2003
2003
Earlier work this paper cites.
R. Uppal and T. Wang, Model misspecification and underdiversification , The Journal of Finance 58
2003
Earlier work this paper cites.
M. Musiela and T. Zariphopoulou, An example of indifference prices under exponential preferences , Finance and Stochastics 8
2004
Earlier work this paper cites.
W. Fleming and H.M. Soner, Controlled Markov processes and viscosity solutions , vol. 25, Springer Science & Business Media, 2006
2006
Earlier work this paper cites.
S. Gallaher, R. Kaniel, and L.T. Starks, Madison Avenue meets Wall Street: Mutual fund families, competition and advertising , Working paper, 2006
2006
Earlier work this paper cites.
M. Huang, R.P. Malhamé, and P.E. Caines, Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle , Communications in Information & Systems 6
2006
Earlier work this paper cites.
W. Li and A. Tiwari, On the consequences of mutual fund tournaments , Working paper (2006)
2006
Earlier work this paper cites.
Y. Sun, The exact law of large numbers via Fubini extension and characterization of insurable risks , Journal of Economic Theory 126
2006
Earlier work this paper cites.
J.-M. Lasry and P.-L. Lions, Mean field games , Japanese Journal of Mathematics 2
2007
Cited alongside, same era.
T. Mitton and K. Vorkink, Equilibrium underdiversification and the preference for skewness , Review of Financial studies 20
2007
Cited alongside, same era.
B. Ding, M. Getmansky, B. Liang, and R. Wermers, Investor flows and share restrictions in the hedge fund industry , Working paper (2008)
2008
Cited alongside, same era.
A. Kempf and S. Ruenzi, Tournaments in mutual-fund families , Review of Financial Studies 21
2008
Cited alongside, same era.
by same author, Portfolio choice under dynamic investment performance criteria , Quantitative Finance 9
2009
Cited alongside, same era.
S. Basak and D. Makarov, Competition among portfolio managers and asset specialization , Paris December 2014 Finance Meeting EUROFIDAI-AFFI Paper, 2015
2015
Later among the works it cites.
A. Bensoussan, J. Frehse, and S.C.P. Yam, The master equation in mean field theory , Journal de Mathématiques Pures et Appliquées 103
2015
Later among the works it cites.
2015
Later among the works it cites.
R. Carmona, J.-P. Fouque, and L.-H. Sun, Mean field games and systemic risk , Communications in Mathematical Sciences 13
2015
Later among the works it cites.
P. Chan and R. Sircar, Bertrand and Cournot mean field games , Applied Mathematics & Optimization 71
2015
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
2009
Cited alongside, same era.
H. Pham, Continuous-time stochastic control and optimization with financial applications , vol. 61, Springer Science & Business Media, 2009
2009
Cited alongside, same era.
by same author, Information acquisition and under-diversification , The Review of Economic Studies 77
2010
Cited alongside, same era.
S. Biagini and A. Černỳ, Admissible strategies in semimartingale portfolio selection , SIAM Journal on Control and Optimization 49
2011
Cited alongside, same era.
C. Frei and G. Dos Reis, A financial market with interacting investors: does an equilibrium exist? , Mathematics and Financial Economics 4
2011
Cited alongside, same era.
O. Guéant, J.-M. Lasry, and P.-L. Lions, Mean field games and applications , Paris-Princeton lectures on mathematical finance 2010, Springer, 2011, pp. 205–266
2011
Cited alongside, same era.
M. Kacperczyk, C. Sialm, and L. Zheng, On the industry concentration of actively managed equity mutual funds , The Journal of Finance 60
2011
Cited alongside, same era.
Later among the works it cites.
G.-E. Espinosa and N. Touzi, Optimal investment under relative performance concerns , Mathematical Finance 25
2015
Later among the works it cites.
A. Bensoussan, K.C.J. Sung, S.C.P. Yam, and S.P. Yung, Linear-quadratic mean field games , Journal of Optimization Theory and Applications 169
2016
Later among the works it cites.
2016
Later among the works it cites.
R. Carmona, F. Delarue, and D. Lacker, Mean field games with common noise , The Annals of Probability 44
2016
Later among the works it cites.
2016
Later among the works it cites.
M. Huang and S.L. Nguyen, Mean field games for stochastic growth with relative utility , Applied Mathematics & Optimization 74
2016
Later among the works it cites.
D. Lacker, A general characterization of the mean field limit for stochastic differential games , Probability Theory and Related Fields 165
2016
Later among the works it cites.
L.-H. Sun, Systemic risk and interbank lending , arXiv preprint arXiv:1611.06672 (2016)
2016
Later among the works it cites.
M. Anthropelos, T. Geng, and T. Zariphopoulou, Competitive investment strategies under forward performance criteria , (2017), In preparation
2017
Closest in time.
J. Bielagk, A. Lionnet, and G. Dos Reis, Equilibrium pricing under relative performance concerns , SIAM Journal on Financial Mathematics 8
2017
Closest in time.
X. Huang, S. Jaimungal, and M. Nourian, Mean-field game strategies for a major-minor agent optimal execution problem , Available at SSRN 2578733 (2017)
2017
Closest in time.
X. Gabaix, J.-M. Lasry, P.-L. Lions, and B. Moll, The dynamics of inequality , Econometrica 84
2071
Closest in time.
J.D. Coval and T.J. Moskowitz, Home bias at home: Local equity preference in domestic portfolios , The Journal of Finance 54
2073
Closest in time.