Optimal portfolio selection of many players under relative performance criteria in the market model with random coefficients

Jeong Yin Park

Papers from arXiv.org

Abstract: We study the optimal portfolio selection problem under relative performance criteria in the market model with random coefficients from the perspective of many players game theory. We consider five random coefficients which consist of three market parameters which are used in the risky asset price modeling and two preference parameters which are related to risk attitude and impact of relative performance. We focus on two cases; either all agents have Constant Absolute Risk Aversion (CARA) risk preferences or all agents have Constant Relative Risk Aversion (CRRA) risk preferences for their investment optimization problem. For each case, we show that the forward Nash equilibrium and the mean field equilibrium exist for the n-agent game and the corresponding mean field stochastic optimal control problem, respectively. To extend the n-agent game to the continuum of players game, we introduce a measure dependent forward relative performance process and apply an optimization over controlled dynamics of McKean-Vlasov type. We conclude that our optimal portfolio formulas extend the corresponding results of the market model with constant coefficients.

Date: 2022-08
New Economics Papers: this item is included in nep-gth and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/2209.07411 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2209.07411

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().