论文标题
在相对性能方面的远期公用事业和均值游戏
Forward utilities and Mean-field games under relative performance concerns
论文作者
论文摘要
我们介绍了使用CARA类型的远期实用程序来研究相对绩效问题的投资组合管理问题家族的代理商的平均现场游戏概念。在基金经理的资产专业化下，我们解决了前进的有限玩家游戏和前进的均值比赛。我们研究单个普通股资产中的最佳反应和均衡策略，以及具有共同噪音的资产专业化。作为一个应用程序，我们借鉴了远期实用程序范式的核心特征，并讨论了连续时间率中时间一致的平均场动态模型选择问题。
We introduce the concept of mean field games for agents using Forward utilities of CARA type to study a family of portfolio management problems under relative performance concerns. Under asset specialization of the fund managers, we solve the forward-utility finite player game and the forward-utility mean-field game. We study best response and equilibrium strategies in the single common stock asset and the asset specialization with common noise. As an application, we draw on the core features of the forward utility paradigm and discuss a problem of time-consistent mean-field dynamic model selection in sequential time-horizons.
