We study n-player games of portfolio choice in general common Ito-diffusion markets under relative performance criteria and time monotone forward utilities.We,also,consider their continuum limit which gives rise to a ...We study n-player games of portfolio choice in general common Ito-diffusion markets under relative performance criteria and time monotone forward utilities.We,also,consider their continuum limit which gives rise to a forward mean field game with unbounded controls in both the drift and volatility terms.Furthermore,we allow for general(time monotone)preferences,thus departing from the homothetic case,the only case so far analyzed.We produce explicit solutions for the optimal policies,the optimal wealth processes and the game values,and also provide representative examples for both the finite and the mean field game.展开更多
文摘We study n-player games of portfolio choice in general common Ito-diffusion markets under relative performance criteria and time monotone forward utilities.We,also,consider their continuum limit which gives rise to a forward mean field game with unbounded controls in both the drift and volatility terms.Furthermore,we allow for general(time monotone)preferences,thus departing from the homothetic case,the only case so far analyzed.We produce explicit solutions for the optimal policies,the optimal wealth processes and the game values,and also provide representative examples for both the finite and the mean field game.
