提供了一个关于两个投资者之间非零和随机微分投资组合博弈问题的系统研究。假设投资者具有指数效用,金融市场上存在两种资产,风险资产服从常弹性方差模型。该非零和博弈问题被构造成两个效用最大化问题。每个投资者最大化终止时刻个人财富与他的竞争对手的财富的差的效用。通过动态规划方法,得到了价值函数满足的HJB方程、值函数以及最优投资均衡策略的显式表达式。最后进行了数值模拟,提供了均衡策略合理的经济解释。 Provides a systematic study of the game of non-zero sum stochastic differential portfolio between two investors. Assuming that investors have an index utility, there are two kinds of assets in the financial market, and the risky assets are subject to the constant elastic variance model. The non-zero-sum game problem is constructed into two utility maximization problems. Each investor maximizes the utility of the poor at the moment when the personal wealth ends up with the wealth of his competitors. Through the dynamic programming method, the explicit expressions of the HJB equation, the value function and the optimal investment equilibrium strategy are obtained. Finally, a numerical simulation was carried out to provide a reasonable economic explanation of a balanced strategy.