Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility

Jodi Dianetti, Frank Riedel and Lorenzo Stanza
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Jodi Dianetti: Center for Mathematical Economics, Bielefeld University
Lorenzo Stanza: Center for Mathematical Economics, Bielefeld University

No 685, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the mean-field version of the game, based on a study of geometric backward stochastic differential equations of Bernoulli type that describe the best replies of traders. Our results show that Epstein-Zin preferences can lead to substantially different equilibrium behavior.

Keywords: Mean field games; portfolio choice; recursive utility; stochastic differential utility; BSDEs (search for similar items in EconPapers)
Pages: 28
Date: 2024-02-19
New Economics Papers: this item is included in nep-gth and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:685

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