In Itô-diffusion environments, we introduce and analyze N-player and common-noise mean-
field games in the context of optimal portfolio choice in a common market. The players invest …

Within a common arbitrage-free semimartingale financial market we consider the problem of
determining all Nash equilibrium investment strategies for n agents who try to maximize the …

This paper discusses a non-zero-sum stochastic differential game involving multiple players
and model ambiguity. Each economic agent is concerned about the relative performance of …

This paper studies the portfolio choice of two large investors who act strategically because
their trading affects interest rates. Each investor chooses her optimal portfolio conditional on …

This paper investigates stochastic continuous time contests with a twist: the designer
requires that contest participants incur some cost to submit their entries. When the designer …

The general idea behind portfolio optimization problems is the following: An investor,
endowed with some fixed initial capital x∈ R, has to decide how many shares of which …

This paper studies a competitive optimal portfolio selection problem in a model where the
interest rate, the appreciation rate and volatility rate of the risky asset are all stochastic …

This paper studies the portfolio choice of two large investors who act strategically because
their trading affects expected stock returns. Each investor chooses her optimal portfolio …

In an investment contest with incomplete information, a finite number of agents dynamically
trade assets with idiosyncratic risk and are rewarded based on the relative ranking of their …

This paper investigates stochastic continuous time contests with a twist: the designer
requires that contest participants incur some cost to submit their entries. When the designer …