Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
Optimization and Control
2024-03-21 v2 Probability
Abstract
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.
Keywords
Cite
@article{arxiv.2402.07698,
title = {Optimal consumption and investment under relative performance criteria with Epstein-Zin utility},
author = {Jodi Dianetti and Frank Riedel and Lorenzo Stanca},
journal= {arXiv preprint arXiv:2402.07698},
year = {2024}
}