Mean Field Portfolio Games in Incomplete Markets: Nonconstant Equilibria Do Not Exist in $L^\infty$

11 Jun 2021  ·  Guanxing Fu, Chao Zhou ·

We study mean field portfolio games in incomplete markets with random market parameters, where each player is concerned with not only her own wealth but also the relative performance to her competitors. We use the martingale optimality principle approach to characterize the unique Nash equilibrium in terms of a mean field FBSDE with quadratic growth, which is solvable under a weak interaction assumption... Motivated by the weak interaction assumption, we establish an asymptotic expansion result in powers of the competition parameter. When the market parameters do not depend on the Brownian paths, we get the Nash equilibrium in closed form. Moreover, when all the market parameters become time-independent, we revisit the games in [21] and our analysis shows that nonconstant equilibria do not exist in $L^\infty$, and the constant equilibrium obtained in [21] is unique in $L^\infty$, not only in the space of constant equilibria. read more

PDF Abstract
No code implementations yet. Submit your code now



  Add Datasets introduced or used in this paper

Results from the Paper

  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.


No methods listed for this paper. Add relevant methods here