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GONCALO DOS REIS (University of Edinburgh) – “Mean field and N-Agent games for optimal investment under relative performance concerns and forward-utilities”

April 9, 3:30 pm - 4:30 pm

1st Monday of each month

Time: 3:30 pm – 4:30 pm
Date: 09th of April 2018
Place: Room 3105

GONCALO DOS REIS (University of Edinburgh) – “Mean field and N-Agent games for optimal investment under relative performance concerns and forward-utilities”

Abstract:

We report on recent progress in the analysis of a family of portfolio management problems under relative performance criteria and the forward utility paradigm, for fund managers having CARA utilities and trading in a common time horizon in log-normal markets. We construct explicit equilibrium strategies (contingent on solving the forward utility equation) for both the finite population games and the corresponding mean field games. We discuss issues related to indifference pricing.

 

Details

Date:
April 9
Time:
3:30 pm - 4:30 pm
Event Categories:
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Organizers

Caroline HILLAIRET
Peter TANKOV