Mean Field Portfolio Games

Guanxing Fu; Chao Zhou

doi:10.1007/s00780-022-00492-9

Mean Field Portfolio Games

Guanxing Fu (Corresponding Author), Chao Zhou

Research output: Journal article publication › Journal article › Academic research › peer-review

6 Citations (Scopus)

Abstract

We study mean field portfolio games with random parameters, where each player is concerned with not only her own wealth, but also relative performance to her competitors. We use the martingale optimality principle approach to characterise the unique Nash equilibrium in terms of a mean field FBSDE with quadratic growth, which is solvable under a weak interaction assumption. Motivated by the latter, we establish an asymptotic expansion result in powers of the competition parameter. When the market parameters do not depend on the Brownian paths, we obtain the Nash equilibrium in closed form.

Original language	English
Pages (from-to)	189-231
Number of pages	43
Journal	Finance and Stochastics
Volume	27
Issue number	1
DOIs	https://doi.org/10.1007/s00780-022-00492-9
Publication status	Published - Jan 2023

Keywords

FBSDE
Martingale optimality principle
Mean field game
Portfolio game

ASJC Scopus subject areas

Finance
Statistics and Probability
Statistics, Probability and Uncertainty

More information

10.1007/s00780-022-00492-9

http://hdl.handle.net/10397/99057

Cite this

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Mean Field Portfolio Games

Abstract

Keywords

ASJC Scopus subject areas

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