Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/283550 
Year of Publication: 
2024
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 685
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
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.
Subjects: 
Mean field games
portfolio choice
recursive utility
stochastic differential utility
BSDEs
JEL: 
C02
C61
C61
C73
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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