collaborators

1 paper

q-fin.MF2026

Mean-field game of mean-variance portfolio optimization with peer-based risk aversion

Weilun Cheng, Zongxia Liang, Sheng Wang +1

This paper investigates a class of mean-field game (MFG) for mean-variance (MV) portfolio optimization, highlighting a new type of relative performance encoded by the peer-based ri…