2 papers
q-fin.PM2025
N-player and mean field games among fund managers considering excess logarithmic returns
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expecte…
q-fin.PM2025
Consumption-portfolio choice with preferences for liquid assets
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper investigates an infinite horizon, discounted, consumption-portfolio problem in a market with one bond, one liquid risky asset, and one illiquid risky asset with proporti…