Mean Field Game of Mutual Holding with common noise - Archive ouverte HAL
Article Dans Une Revue ArXiv e-prints Année : 2024

Mean Field Game of Mutual Holding with common noise

Résumé

We consider the mean field game of cross--holding introduced in \citeauthor*{DjeteTouzi} \cite{DjeteTouzi} in the context where the equity value dynamics are affected by a common noise. In contrast with \cite{DjeteTouzi}, the problem exhibits the standard paradigm of mean--variance trade off. Our crucial observation is to search for equilibrium solutions of our mean field game among those models which satisfy an appropriate notion of no--arbitrage. Under this condition, it follows that the representative agent optimization step is reduced to a standard portfolio optimization problem with random endowment.

Dates et versions

hal-04565546 , version 1 (02-05-2024)

Identifiants

Citer

Leila Bassou, Mao Fabrice Djete, Nizar Touzi. Mean Field Game of Mutual Holding with common noise. ArXiv e-prints, 2024. ⟨hal-04565546⟩
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