Relative Arbitrage Opportunities With Interactions Among N Investors
研究了多个投资者在相互影响的市场中寻找相对套利机会的问题，构建了基于投资者经验测度的市场动态系统，并给出了存在相对套利机会的条件和最优策略。
ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics. We construct a well‐posed market dynamical system of McKean–Vlasov type under an empirical measure of investors, where each investor seeks for relative arbitrage with respect to a benchmark dependent on market and all the agents. We show the conditions to guaranty relative arbitrage opportunities among competitive investors through the Fichera drift. Under mild conditions, we derive the optimal strategies for investors and the unique Nash equilibrium that depends on the smallest nonnegative solution of a Cauchy problem.