Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/99057
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorFu, Gen_US
dc.creatorZhou, Cen_US
dc.date.accessioned2023-06-12T09:03:59Z-
dc.date.available2023-06-12T09:03:59Z-
dc.identifier.issn0949-2984en_US
dc.identifier.urihttp://hdl.handle.net/10397/99057-
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.rights© The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2022en_US
dc.rightsThis version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use (https://www.springernature.com/gp/open-research/policies/accepted-manuscript-terms), but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: http://dx.doi.org/10.1007/s00780-022-00492-9.en_US
dc.subjectFBSDEen_US
dc.subjectMartingale optimality principleen_US
dc.subjectMean field gameen_US
dc.subjectPortfolio gameen_US
dc.titleMean field portfolio gamesen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage189en_US
dc.identifier.epage231en_US
dc.identifier.volume27en_US
dc.identifier.issue1en_US
dc.identifier.doi10.1007/s00780-022-00492-9en_US
dcterms.abstractWe 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.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationFinance and stochastics, Jan. 2023, v. 27, no. 1, p. 189-231en_US
dcterms.isPartOfFinance and stochasticsen_US
dcterms.issued2023-01-
dc.identifier.scopus2-s2.0-85143906538-
dc.identifier.eissn1432-1122en_US
dc.description.validate202306 bcwwen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumbera2112-
dc.identifier.SubFormID46633-
dc.description.fundingSourceRGCen_US
dc.description.fundingSourceOthersen_US
dc.description.fundingTextNSFC Grant No. 12101523en_US
dc.description.fundingTextHong Kong ECS Grant No. 25215122.en_US
dc.description.pubStatusPublisheden_US
dc.description.oaCategoryGreen (AAM)en_US
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