Mean field portfolio games

Guanxing Fu () and Chao Zhou ()
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Guanxing Fu: The Hong Kong Polytechnic University
Chao Zhou: National University of Singapore

Finance and Stochastics, 2023, vol. 27, issue 1, No 6, 189-231

Abstract: 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.

Keywords: Mean field game; Portfolio game; Martingale optimality principle; FBSDE; 93E20; 91B70; 60H30 (search for similar items in EconPapers)
JEL-codes: C02 C73 G11 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s00780-022-00492-9

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