Mean Field Portfolio Games with Epstein-Zin Preferences
Mathematical Finance
2025-05-13 v1
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.
Keywords
Cite
@article{arxiv.2505.07231,
title = {Mean Field Portfolio Games with Epstein-Zin Preferences},
author = {Guanxing Fu and Ulrich Horst},
journal= {arXiv preprint arXiv:2505.07231},
year = {2025}
}
Comments
25 pages; comments are welcome