Optimal investment under relative performance concerns
Year of publication: |
2015
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Authors: | Espinosa, Gilles.Eduard ; Touzi, Nizar |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 2, p. 221-257
|
Subject: | portfolio optimization | relative concerns | Nash equilibrium | differential game | backward stochastic differential equations | Theorie | Theory | Portfolio-Management | Portfolio selection | Nash-Gleichgewicht | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis |
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