Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations

DOI10.1137/15M1016059zbMath1410.91430arXiv1504.03209MaRDI QIDQ2819095

Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou

Publication date: 28 September 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.03209

zbMATH Keywords

incomplete marketsfactor modelsHJB equationsstochastic volatility modelsoptimal investmentmultiscale asymptotic analysisforward performance processes

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

Related Items (16)

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE ⋮ Competition in Fund Management and Forward Relative Performance Criteria ⋮ Linear inverse problems for Markov processes and their regularisation ⋮ Power Mixture Forward Performance Processes ⋮ Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem ⋮ An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior ⋮ Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes ⋮ A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models ⋮ Predictable Forward Performance Processes: The Binomial Case ⋮ Forward Exponential Indifference Valuation in an Incomplete Binomial Model ⋮ Stability of the Indirect Utility Process

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