Relative performance criteria of multiplicative form in complete markets

Abstract: We consider existence and uniqueness of Nash equilibria in an $N$-player game of utility maximization under relative performance criteria of multiplicative form in complete semimartingale markets. For a large class of players' utility functions, a general characterization of Nash equilibria for a given initial wealth vector is provided in terms of invertibility of a map from $\mathbb{R}^N$ to $\mathbb{R}^N$. As a consequence of the general theorem, we derive existence and uniqueness of Nash equilibria for an arbitrary initial wealth vector, as well as their convergence, if either (i) players' utility functions are close to CRRA, or (ii) players' competition weights are small and relative risk aversions are bounded away from infinity.