How much should we care what others know? Jump signals in optimal investment under relative performance concerns

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Speaker:  Peter Bank - Technische Universität Berlin
  Thursday, October 23, 2025 at 12:00 PM Aula Vaona
We investigate equilibria in continuous-time optimal investment problems where investors receive idiosyncratic signals about impending price shocks and interact through relative performance concerns. We use Meyer-sigma-fields to introduce signal-driven strategies and describe investor behavior in both a multi-agent and a mean-field game setting. Existence of equilibria in both cases is proven under suitable conditions on the investors' types, including the frequency and realiability of their signal processes. Numerical experiments allow us to investigate properties of these equilibria from a financial-economic perspective and help us answer the question how much investors care about what is known by their peers. This is joint work with Gemma Sedrakjan.
 
 
Programme Director
Sara Svaluto Ferro
External reference
Publication date
July 25, 2025

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