• Corpus ID: 252284070

Optimal portfolio selection of many players under relative performance criteria in the market model with random coefficients

@inproceedings{Park2022OptimalPS,
  title={Optimal portfolio selection of many players under relative performance criteria in the market model with random coefficients},
  author={Jeong Yin Park},
  year={2022}
}
We study the optimal portfolio selection problem under relative performance criteria in the market model with random coefficients from the perspective of many players game theory. We consider five random coefficients which consist of three market parameters which are used in the risky asset price modeling and two preference parameters which are related to risk attitude and impact of relative performance. We focus on two cases; either all agents have Constant Absolute Risk Aversion (CARA) risk… 

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