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Mean Field Portfolio Games with Epstein-Zin Preferences

Author

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  • Guanxing Fu

    (The Hong Kong Polytechnic University)

  • Ulrich Horst

    (Humboldt University Berlin)

Abstract

We study mean field portfolio games under Epstein-Zin preferences, which naturally encompass the classical time-additive power utility as a special case. In a general non-Markovian framework, we establish a uniqueness result by proving a one-to-one correspondence between Nash equilibria and the solutions to a class of BSDEs. A key ingredient in our approach is a necessary stochastic maximum principle tailored to Epstein-Zin utility and a nonlinear transformation. In the deterministic setting, we further derive an explicit closed-form solution for the equilibrium investment and consumption policies.

Suggested Citation

  • Guanxing Fu & Ulrich Horst, 2025. "Mean Field Portfolio Games with Epstein-Zin Preferences," Rationality and Competition Discussion Paper Series 540, CRC TRR 190 Rationality and Competition.
    • Handle: RePEc:rco:dpaper:540
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