A mean-field game of optimal portfolio liquidation

Ulrich Horst

We consider a mean-field game of optimal portfolio liquidation. The mean-field game can be characterised in terms of a coupled forward-backward SDE with a singular terminal condition for the backward part. We consider two different environments. In a privat value environment each player penalises open positions based on idiosyncratic risk factors while in a common value environment all players share the same information. For both environments we establish the existence of a unique global solution to the FBSDE characterising the MFG. The talk is based on joint work with Guanxing Fu and Paulwin Graewe.

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