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

Author

Listed:
  • Dianetti, Jodi

    (Center for Mathematical Economics, Bielefeld University)

  • Riedel, Frank

    (Center for Mathematical Economics, Bielefeld University)

  • Stanza, Lorenzo

    (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.

Suggested Citation

  • Dianetti, Jodi & Riedel, Frank & Stanza, Lorenzo, 2024. "Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility," Center for Mathematical Economics Working Papers 685, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:685
    as

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    File URL: https://pub.uni-bielefeld.de/download/2987106/2987107
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Mean field games; portfolio choice; recursive utility; stochastic differential utility; BSDEs;
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