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Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Mathematics and Financial Economics [ISSN:] 1862-9660 [Volume:] 18 [Issue:] 1 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2024 [Pages:] 27-48
Verlag: 
Springer, Berlin, Heidelberg
Zusammenfassung: 
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.
Schlagwörter: 
Portfolio optimization
Price impact
Nash equilibrium
Relative investor
JEL: 
C61
C73
G11
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Dokumentart: 
Article
Dokumentversion: 
Published Version

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