A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility

DOI10.1007/978-3-319-02069-3_22zbMath1418.91483OpenAlexW94664860MaRDI QIDQ4561947

Thaleia Zariphopoulou, Sergey Nadtochiy

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_22

zbMATH Keywords

Hamilton-Jacobi-Bellman equationHeston modelWidder theoremforward investment performancedistortion transformation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (14)

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 ⋮ Power Mixture Forward Performance Processes ⋮ Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Black's Inverse Investment Problem and Forward Criteria with Consumption ⋮ 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 ⋮ 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 ⋮ Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations ⋮ Stability of the Indirect Utility Process

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