Robust Non-zero-sum Asset Allocation Games Under Relative Wealth Concerns

Huainian Zhu, Sihan Huang and Ning Bin ()
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Huainian Zhu: School of Economics, Guangdong University of Technology
Sihan Huang: School of Economics, Guangdong University of Technology
Ning Bin: School of Management, Guangdong University of Technology

Annals of Economics and Finance, 2025, vol. 26, issue 1, 415-441

Abstract: This paper considers the non-zero sum stochastic differential asset allocation game problem between two competitive institutional investors, who are concerned with the potential model ambiguity and aim to seek the robust optimal asset allocation strategy. The two investors' decisions influence each other through the investors' relative wealth concerns. By applying the dynamic programming principle, explicit solutions for the robust equilibrium asset allocation strategies are obtained under the representative case of constant relative risk aversion (CRRA) utility. Finally, we provide some numerical studies and draw some economic interpretations.

Keywords: Robust non-zero-sum game; Asset allocation; Ambiguity; Nash equilibrium; Hamilton-Jacobi-Bellman-Isaacs (HJBI) equation (search for similar items in EconPapers)
JEL-codes: C61 C73 G41 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2025:v:26:i:1:zhuhuangbin

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