Quantitative Finance > Mathematical Finance
[Submitted on 2 Aug 2021 (v1), last revised 9 Feb 2023 (this version, v4)]
Title:Mean Field Game of Optimal Relative Investment with Jump Risk
View PDFAbstract:This paper studies the n-player game and the mean field game under the CRRA relative performance on terminal wealth, in which the interaction occurs by peer competition. In the model with n agents, the price dynamics of underlying risky assets depend on a common noise and contagious jump risk modelled by a multi-dimensional nonlinear Hawkes process. With a continuum of agents, we formulate the MFG problem and characterize a deterministic mean field equilibrium in an analytical form under some conditions, allowing us to investigate some impacts of model parameters in the limiting model and discuss some financial implications. Moreover, based on the mean field equilibrium, we construct an approximate Nash equilibrium for the n-player game when n is sufficiently large. The explicit order of the approximation error is also derived.
Submission history
From: Xiang Yu [view email][v1] Mon, 2 Aug 2021 11:59:49 UTC (50 KB)
[v2] Thu, 30 Dec 2021 12:13:54 UTC (50 KB)
[v3] Fri, 21 Oct 2022 03:08:31 UTC (54 KB)
[v4] Thu, 9 Feb 2023 11:09:50 UTC (48 KB)
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