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- W4226209050 abstract "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 expected utility of their relative wealth. The utility function can be rather general here. Exploiting the linearity of the stochastic integral and making use of the classical pricing theory we are able to express all Nash equilibrium investment strategies in terms of the optimal strategies for the classical one agent expected utility problems. The corresponding mean field problem is solved in the same way. We give four applications of specific financial markets and compare our results with those given in the literature." @default.
- W4226209050 created "2022-05-05" @default.
- W4226209050 creator A5022449258 @default.
- W4226209050 creator A5060584631 @default.
- W4226209050 date "2021-11-03" @default.
- W4226209050 modified "2023-10-07" @default.
- W4226209050 title "Nash equilibria for relative investors via no-arbitrage arguments" @default.
- W4226209050 doi "https://doi.org/10.48550/arxiv.2111.02310" @default.
- W4226209050 hasPublicationYear "2021" @default.
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