Date
Mon, 16 May 2022
Time
15:30 - 16:30
Location
L2
Speaker
THALEIA ZARIPHOPOULOU
Organisation
Univerity of Texas at Austin

I will introduce a class of mean-field games under forward performance and for general risk preferences. Players interact through competition in fund management, driven by relative performance concerns in an asset diversification setting. This results in a common-noise mean field game. I will present the value and the optimal policies of such games, as well as some concrete examples. I will also discuss the partial information case, i.e.. when the risk premium is not directly observed. 

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