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Shedule -
Séminaire des doctorants de FIME
Mean field game of mutual holding with common noise
Institut Henri Poincaré
Salle Maurice Fréchet
We consider the Mean Field Game of Mutual Holding introduced in the paper of Djete & Touzi (2020), within a framework where equity value dynamics are affected by common noise. The problem formulation uncovers a No-Arbitrage (NA) condition that is necessary for the existence of equilibria and streamlines their investigation. The presentation is structured into two parts:
The first part is dedicated to the one-period model. We explicitly characterize the NA condition and the mean field equilibria related to a mean-variance criterion.
In the second part, we extend the study to a continuous-time setting. Here, we use a weak notion of the NA condition, under which the representative agent's optimization step is reduced to a standard portfolio optimization problem with random endowment.
This is a joint work with Mao Fabrice Djete and Nizar Touzi.