Mean Field Portfolio Games with Epstein-Zin Preferences (opens in new tab)

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 local stochastic maximum principle, applied to log-wealth, tailored to...