In this paper, we study the stochastic Nash equilibrium portfolio game between two pension
funds under inflation risks. The financial market consists of cash, bond and two stocks. It is
assumed that the price index is derived through a generalized Fisher equation while the
bond is related to the price index to hedge the risk of inflation. Besides, these two pension
managers can invest in their familiar stocks. The goal of the pension managers is to
maximize the utility of the weighted terminal wealth and relative wealth. Dynamic …