Introduces PRFPP framework for multi-agent and mean-field portfolio games in binomial markets, constructing equilibria for CARA utilities and showing relative concerns do not always increase risky-asset holdings and can produce short positions in positive-excess-return stocks.
Portfolio choice under dynamic investment performance criteria
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Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
Introduces PRFPP framework for multi-agent and mean-field portfolio games in binomial markets, constructing equilibria for CARA utilities and showing relative concerns do not always increase risky-asset holdings and can produce short positions in positive-excess-return stocks.