Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/315461 
Year of Publication: 
2024
Citation: 
[Journal:] Mathematics and Financial Economics [ISSN:] 1862-9660 [Volume:] 18 [Issue:] 1 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2024 [Pages:] 27-48
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
We consider the strategic interaction of n investors who are able to influence a stock price process and at the same time measure their utilities relative to the other investors. Our main aim is to find Nash equilibrium investment strategies in this setting in a financial market driven by a Brownian motion and investigate the influence the price impact has on the equilibrium. We consider both CRRA and CARA utility functions. Our findings show that the problem is well-posed as long as the price impact is at most linear. Moreover, numerical results reveal that the investors behave very aggressively when the price impact is close to a critical parameter.
Subjects: 
Portfolio optimization
Price impact
Nash equilibrium
Relative investor
JEL: 
C61
C73
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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