相对性能关注下的正向效用和平均场博弈
Forward utilities and Mean-field games under relative performance concerns
摘要：
我们引入了平均场博弈的概念，代理使用CARA型的远期效用研究一个家庭的投资组合管理问题下的相对业绩的关注。在基金经理资产专业化的情况下，我们分别求解了前向效用有限局中人博弈和前向效用平均场博弈。研究了单一普通股资产和具有共同噪声的资产专业化的最佳对策和均衡策略。作为一个应用，我们借鉴了前瞻效用范式的核心特征，并讨论了一个问题的时间一致的平均场动态模型选择在连续的时间范围。
英文摘要：
We introduce the concept of mean field games for agents using Forward utilities of CARA type to study a family of portfolio management problems under relative performance concerns. Under asset specialization of the fund managers, we solve the forward-utility finite player game and the forward-utility mean-field game. We study best response and equilibrium strategies in the single common stock asset and the asset specialization with common noise. As an application, we draw on the core features of the forward utility paradigm and discuss a problem of time-consistent mean-field dynamic model selection in sequential time-horizons.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
