A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models

DOI10.1137/20M1334280zbMath1471.91504arXiv2005.10660OpenAlexW3179669555MaRDI QIDQ4958395

Juan Li, Gechun Liang, Wenqiang Li

Publication date: 8 September 2021

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

Full work available at URL: https://arxiv.org/abs/2005.10660

zbMATH Keywords

model uncertaintyforward performance processergodic BSDEergodic risk-sensitive stochastic differential gameself-generating stochastic differential game

Mathematics Subject Classification ID

Applications of game theory (91A80) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

Related Items (1)

Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal asset allocation: risk and information uncertainty
• Pseudo linear pricing rule for utility indifference valuation
• A dual characterization of self-generation and exponential forward performances
• Risk-sensitive dynamic asset management
• Nash equilibria of risk-sensitive nonlinear stochastic differential games
• Worst case model risk management
• Recent advancements in robust optimization for investment management
• An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
• Robust consumption and portfolio policies when asset prices can jump
• Dynamically consistent investment under model uncertainty: the robust forward criteria
• Risk-sensitive control and an optimal investment model. II.
• Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
• Horizon-unbiased investment with ambiguity
• Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
• Recent developments in robust portfolios with a worst-case approach
• Zero-sum stochastic differential games with risk-sensitive cost
• Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
• A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
• Asymptotics of robust utility maximization
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach
• Horizon-unbiased utility functions
• Robust projections in the class of martingale measures
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Risk-Sensitive Control and an Optimal Investment Model
• A Probabilistic Approach to Large Time Behavior of Mild Solutions of HJB Equations in Infinite Dimension
• Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
• Portfolio optimization under model uncertainty and BSDE games
• Zero-Sum Risk-Sensitive Stochastic Differential Games
• Stochastic Partial Differential Equations and Portfolio Choice
• Forward indifference valuation of American options
• Robust utility maximization in a stochastic factor model
• Portfolio Choice under Space-Time Monotone Performance Criteria
• Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• Portfolio choice under dynamic investment performance criteria
• Optimal Asset Allocation under Forward Exponential Performance Criteria
• Robust Preferences and Robust Portfolio Choice
• A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility
• Robust mean variance optimization problem under Rényi divergence information
• Risk-Sensitive Control on an Infinite Time Horizon
• Black's Inverse Investment Problem and Forward Criteria with Consumption
• Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes
• Predictable Forward Performance Processes: The Binomial Case
• Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE

This page was built for publication: A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models