Mean Field Exponential Utility Game: A Probabilistic Approach

Understand

We study an $N$-player and a mean field exponential utility game.

• Each player manages two stocks; one is driven by an individual shock and the other is driven by a common shock.
• Moreover, each player is concerned not only with her own terminal wealth but also with the relative performance of her competitors.
• We use the probabilistic approach to study these two games.