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arXiv · 1807.03813

Nash equilibrium for risk-averse investors in a market impact game with transient price impact

Xiangge Luo·Alexander Schied
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Abstract

We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a mean-variance functional of their costs or to maximize the expected exponential utility of their revenues. We give explicit representations for corresponding Nash equilibria and prove uniqueness in the case of mean-variance optimization. A qualitative analysis of these Nash equilibria is conducted by means of numerical analysis.

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BibTeXRIS

Xiangge Luo, Alexander Schied. 2019-06-17. Nash equilibrium for risk-averse investors in a market impact game with transient price impact. https://doi.org/10.1142/s238262662050001x

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