{
  "id": "2402.07698",
  "version": "v2",
  "published": "2024-02-12T15:06:56.000Z",
  "updated": "2024-03-20T14:34:31.000Z",
  "title": "Optimal consumption and investment under relative performance criteria with Epstein-Zin utility",
  "authors": [
    "Jodi Dianetti",
    "Frank Riedel",
    "Lorenzo Stanca"
  ],
  "categories": [
    "math.OC",
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2024-03-20T14:34:31.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "93E20",
      "91A15",
      "91A30",
      "60H10",
      "60H30"
    ],
    "keywords": [
      "relative performance criteria",
      "epstein-zin utility",
      "optimal consumption",
      "geometric backward stochastic differential equations",
      "investment"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}