Mean Field Game of Mutual Holding with common noise
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866916174729576448 |
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| author | Bassou, Leila Djete, Mao Fabrice Touzi, Nizar |
| author_facet | Bassou, Leila Djete, Mao Fabrice Touzi, Nizar |
| contents | We consider the mean field game of cross--holding introduced in \citeauthor*{DjeteTouzi} \cite{DjeteTouzi} in the context where the equity value dynamics are affected by a common noise. In contrast with \cite{DjeteTouzi}, the problem exhibits the standard paradigm of mean--variance trade off. Our crucial observation is to search for equilibrium solutions of our mean field game among those models which satisfy an appropriate notion of no--arbitrage. Under this condition, it follows that the representative agent optimization step is reduced to a standard portfolio optimization problem with random endowment. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_16232 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Mean Field Game of Mutual Holding with common noise Bassou, Leila Djete, Mao Fabrice Touzi, Nizar Probability Optimization and Control 60K35, 60H30, 91A13, 91A23, 91B30 We consider the mean field game of cross--holding introduced in \citeauthor*{DjeteTouzi} \cite{DjeteTouzi} in the context where the equity value dynamics are affected by a common noise. In contrast with \cite{DjeteTouzi}, the problem exhibits the standard paradigm of mean--variance trade off. Our crucial observation is to search for equilibrium solutions of our mean field game among those models which satisfy an appropriate notion of no--arbitrage. Under this condition, it follows that the representative agent optimization step is reduced to a standard portfolio optimization problem with random endowment. |
| title | Mean Field Game of Mutual Holding with common noise |
| topic | Probability Optimization and Control 60K35, 60H30, 91A13, 91A23, 91B30 |
| url | https://arxiv.org/abs/2403.16232 |