Establishes existence of mean field equilibrium for a benchmark-tracking portfolio game using PDE methods on reflected processes and constructs approximate Nash equilibria for large finite populations.
Baumann (2018): Optimal construction and rebalanc ing of index-tracking portfolios
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Mean Field Game of Optimal Tracking Portfolio
Establishes existence of mean field equilibrium for a benchmark-tracking portfolio game using PDE methods on reflected processes and constructs approximate Nash equilibria for large finite populations.