Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility
Dianetti J, Riedel F, Stanza L (2024) Center for Mathematical Economics Working Papers; 685.
Bielefeld: Center for Mathematical Economics.
Diskussionspapier
| Veröffentlicht | Englisch
Download
IMW_working_paper_685.pdf
586.34 KB
Autor*in
Dianetti, JodiUniBi;
Riedel, FrankUniBi;
Stanza, Lorenzo
Einrichtung
Abstract / Bemerkung
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.
AMS subject classification: 93E20, 91A15, 91A30, 60H10, 60H30
AMS subject classification: 93E20, 91A15, 91A30, 60H10, 60H30
Stichworte
Mean field games;
portfolio choice;
recursive utility;
stochastic differential utility;
BSDEs
Erscheinungsjahr
2024
Serientitel
Center for Mathematical Economics Working Papers
Band
685
Seite(n)
28
Urheberrecht / Lizenzen
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2987106
Zitieren
Dianetti J, Riedel F, Stanza L. Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility. Center for Mathematical Economics Working Papers. Vol 685. Bielefeld: Center for Mathematical Economics; 2024.
Dianetti, J., Riedel, F., & Stanza, L. (2024). Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility (Center for Mathematical Economics Working Papers, 685). Bielefeld: Center for Mathematical Economics.
Dianetti, Jodi, Riedel, Frank, and Stanza, Lorenzo. 2024. Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility. Vol. 685. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
Dianetti, J., Riedel, F., and Stanza, L. (2024). Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility. Center for Mathematical Economics Working Papers, 685, Bielefeld: Center for Mathematical Economics.
Dianetti, J., Riedel, F., & Stanza, L., 2024. Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility, Center for Mathematical Economics Working Papers, no.685, Bielefeld: Center for Mathematical Economics.
J. Dianetti, F. Riedel, and L. Stanza, Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility, Center for Mathematical Economics Working Papers, vol. 685, Bielefeld: Center for Mathematical Economics, 2024.
Dianetti, J., Riedel, F., Stanza, L.: Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility. Center for Mathematical Economics Working Papers, 685. Center for Mathematical Economics, Bielefeld (2024).
Dianetti, Jodi, Riedel, Frank, and Stanza, Lorenzo. Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility. Bielefeld: Center for Mathematical Economics, 2024. Center for Mathematical Economics Working Papers. 685.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Creative Commons Namensnennung 4.0 International Public License (CC-BY 4.0):
Volltext(e)
Name
IMW_working_paper_685.pdf
586.34 KB
Access Level
Open Access
Zuletzt Hochgeladen
2024-02-19T08:16:30Z
MD5 Prüfsumme
7819c81603c2d1a7a9a81741f2dfa721
Google Scholar