Existence of mean-field equilibrium is shown for a time-inconsistent mean-variance portfolio game with piecewise peer-based relative risk aversion via regularization of discontinuous FBSDEs.
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Mean-field game of mean-variance portfolio management with peer-based relative risk aversion
Existence of mean-field equilibrium is shown for a time-inconsistent mean-variance portfolio game with piecewise peer-based relative risk aversion via regularization of discontinuous FBSDEs.