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In It\^{o}-diffusion environments, we introduce and analyze $N$-player and common-noise mean-field games in the context of optimal portfolio choice in a common market.
Hedging of contingent claims under incomplete information
Hans Föllmer and Martin Schweizer · 1991
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Pricing via utility maximization and entropy
Richard Rouge and Nicole El Karoui · 2000
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A note on the term structure of risk aversion in utility-based pricing systems
Marek Musiela and Thaleia Zariphopoulou · 2002
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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
George Chacko and Luis M Viceira · 2005
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Bounds and asymptotic approximations for utility prices when volatility is random
Ronnie Sircar and Thaleia Zariphopoulou · 2005
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Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
Minyi Huang, Roland P Malhamé, and Peter E Caines · 2006
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Mean field games
Jean-Michel Lasry and Pierre-Louis Lions · 2007
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Three essays on valuation and investment in incomplete markets
Nathanael David Ringer · 2011
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Competition among portfolio managers and asset specialization
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Optimal investment under relative performance concerns
Gilles-Edouard Espinosa and Nizar Touzi · 2015
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Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications
René Carmona · 2016
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Mean field games for stochastic growth with relative utility
Minyi Huang and Son Luu Nguyen · 2016
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Mean field and n-agent games for optimal investment under relative performance criteria
Daniel Lacker and Thaleia Zariphopoulou · 2019
Mean field exponential utility game: A probabilistic approach
Guanxing Fu, Xizhi Su, and Chao Zhou · 2020
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Entropy regularization for mean field games with learning
Xin Guo, Renyuan Xu, and Thaleia Zariphopoulou · 2020
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Dynamic asset allocation with relative wealth concerns in incomplete markets
Holger Kraft, André Meyer-Wehmann, and Frank Thomas Seifried · 2020
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Many-player games of optimal consumption and investment under relative performance criteria
Daniel Lacker and Agathe Soret · 2020
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Learning quadratic games on networks
Yan Leng, Xiaowen Dong, Junfeng Wu, and Alex Pentland · 2020
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Relative performance concerns among investment managers
Mark Whitmeyer · 2019
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Reinforcement learning in continuous time and space: A stochastic control approach
Haoran Wang, Thaleia Zariphopoulou, and Xun Yu Zhou · 2020
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