Time-inconsistent mean field and n-agent games under relative performance criteria

Zongxia Liang and Keyu Zhang

Papers from arXiv.org

Abstract: In this paper we study a time-inconsistent portfolio optimization problem for competitive agents with CARA utilities and non-exponential discounting. The utility of each agent depends on her own wealth and consumption as well as the relative wealth and consumption to her competitors. Due to the presence of a non-exponential discount factor, each agent's optimal strategy becomes time-inconsistent. In order to resolve time-inconsistency, each agent makes a decision in a sophisticated way, choosing open-loop equilibrium strategy in response to the strategies of all the other agents. We construct explicit solutions for the $n$-agent games and the corresponding mean field games (MFGs) where the limit of former yields the latter. This solution is unique in a special class of equilibria.

Date: 2023-12, Revised 2024-04
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:

Downloads: (external link)
http://arxiv.org/pdf/2312.14437 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:2312.14437

Access Statistics for this paper

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