2 papers
math.OC2024
A Deep Learning Method for Optimal Investment Under Relative Performance Criteria Among Heterogeneous Agents
Mathieu Laurière, Ludovic Tangpi, Xuchen Zhou
Graphon games have been introduced to study games with many players who interact through a weighted graph of interaction. By passing to the limit, a game with a continuum of player…
q-fin.MF2022
Optimal Investment in a Large Population of Competitive and Heterogeneous Agents
Ludovic Tangpi, Xuchen Zhou
This paper studies a stochastic utility maximization game under relative performance concerns in finite agent and infinite agent settings, where a continuum of agents interact thro…