In recent decades, macroeconomics and finance research has incorporated explicit heterogeneity of agents through the use of mean field games. However, the standard model of intertemporal discounted utility is limited in its ability to conduct desirable comparative statics exercises when it comes to risk aversion and intertemporal substitutability, as these two factors are intertwined. Stochastic differential utility addresses this concern by providing a framework for mean field games with stochastic differential utility. In this paper, we first provide a stability result that motivates the study of such games, demonstrating that mean field games can be seen as the limit of large stochastic differential games. We then apply this framework to portfolio choice with relative consumption and wealth concerns, showing how simple comparative statics results can be obtained.
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