Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
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arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866911805266198528 |
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| author | Dianetti, Jodi Riedel, Frank Stanca, Lorenzo |
| author_facet | Dianetti, Jodi Riedel, Frank Stanca, Lorenzo |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_07698 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Optimal consumption and investment under relative performance criteria with Epstein-Zin utility Dianetti, Jodi Riedel, Frank Stanca, Lorenzo Optimization and Control Probability 93E20, 91A15, 91A30, 60H10, 60H30 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. |
| title | Optimal consumption and investment under relative performance criteria with Epstein-Zin utility |
| topic | Optimization and Control Probability 93E20, 91A15, 91A30, 60H10, 60H30 |
| url | https://arxiv.org/abs/2402.07698 |