Abstract: In this talk I will introduce a class of mean-field games under forward performance criteria with partial information and for general risk preferences. Players interact through competition in fund management, driven by relative performance concerns in an asset diversification setting. This results in a common-noise mean field game in which the risk premium is not directly observed. I will discuss the value and the optimal policies of such games, as well as some concrete examples.

Bio: Thaleia Zariphopoulou is a Greek-American mathematician specializing in mathematical finance. She is the Chair in Mathematics and the V. H. Neuhaus Centennial Professor of Finance at the University of Texas at Austin. Zariphopoulou earned her Ph.D. degree at Brown University under the supervision of Wendell Fleming. She was an assistant professor at Worcester Polytechnic Institute and an associate professor at the University of Wisconsin–Madison before she moved to the University of Texas at Austin in 1999. She was the first holder of the Man Chair of Quantitative Finance at the Oxford-Man Institute from 2009 to 2012.

In 2012 she became a fellow of the Society for Industrial and Applied Mathematics "for contributions to stochastic control and financial mathematics". She was an invited speaker at the 2014 International Congress of Mathematicians.

Meeting Recording: https://ucsb.zoom.us/rec/share/nbszofiulGxkZ9dfrGJkqAcgIaPDrpbf8FlVrfhLYRQyU-7tJiJlPTjwGH70wnA6.Kz7MGUuv1za83tT6

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