Saved in:
| Main Authors: | , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2505.07231 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866918017609236480 |
|---|---|
| author | Fu, Guanxing Horst, Ulrich |
| author_facet | Fu, Guanxing Horst, Ulrich |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2505_07231 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Mean Field Portfolio Games with Epstein-Zin Preferences Fu, Guanxing Horst, Ulrich Mathematical Finance 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. |
| title | Mean Field Portfolio Games with Epstein-Zin Preferences |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2505.07231 |