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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