RESEARCH

Research Interest:

Stochastic Control, Mean Field Game, Game Theory, Mathematical Finance

Working Papers：

Mutual Funds' Competition for Investment Flows based on Relative Performance

(with Gu Wang)

  • ​Derived the unique constant equilibrium among N funds competing for cash flows based on relative performance.

  • Herd effect exists with large differences in funds' ratios between Sharpe ratios and risk aversions.

  • The sufficiently disadvantaged funds with poor idiosyncratic investment opportunities or highly risk averse managers may take the excessive risk for a better chance of attracting new investments.

The convergence rate of the equilibrium measure for the LQG Mean Field Game with a Common Noise

(with Jiamin Jian, Qingshuo Song, and Peiyao Lai)

  • Mean Field Games with a common noise given by a continuous time Markov chain.

  • Characterized the problem with finite dimensional Riccati equation, and derived semi-closed form Nash equilibrium.

  • Convergence of N player games to the solution of MFG.​

Optimal Tax Rate

(with Stephan Sturm)

  • ​Constructed a principle-agent model with policy makers choosing the optimal tax rate while the fund managers choosing the optimal portfolio with performance fees and taxes.

  • ​Unique Pareto optimal Nash equilibrium among N managers competing the terminal relative wealth.

Research Statement:

Research Statement.pdf