Corpus ID: 220713872

Relative wealth concerns with partial information and heterogeneous priors

@article{Deng2020RelativeWC,
  title={Relative wealth concerns with partial information and heterogeneous priors},
  author={Chao Deng and Xizhi Su and Chao Zhou},
  journal={arXiv: Portfolio Management},
  year={2020}
}
We establish a Nash equilibrium in a market with $ N $ agents with the performance criteria of relative wealth level when the market return is unobservable. Each investor has a random prior belief on the return rate of the risky asset. The investors can be heterogeneous in both the mean and variance of the prior. By a separation result and a martingale argument, we show that the optimal investment strategy under a stochastic return rate model can be characterized by a fully-coupled linear FBSDE… Expand

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