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Mean Field Portfolio Games with Epstein-Zin Preferences

Published: May 12, 2025 | arXiv ID: 2505.07231v1

By: Guanxing Fu, Ulrich Horst

Potential Business Impact:

Finds best ways to invest money for the future.

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.

Country of Origin
🇩🇪 🇭🇰 Germany, Hong Kong

Page Count
25 pages

Category
Quantitative Finance:
Mathematical Finance