Abstract
(CANCELLED DUE TO HURRICAINE HARVEY) Mean-field and n-agent games for optimal investment under relative performance criteria
Thaleia Zariphopoulou
University of Texas at Austin
I will discuss the optimal behavior of a population of fund managers who trade, in a common horizon [0,T] and log-normal markets, aiming at maximizing their expected utility but are also concerned about their relative performance. I will present the n-agent and mean field game for both CARA and CRRA risk preferences, construct the equilibria explicitly and provide conditions for their existence and uniqueness. (Joint work with D. Lacker)
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