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.
(2019): Mean field and n-agent games for optimal investment under relative performance criteria
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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.