Power Mixture Forward Performance Processes

DOI10.1137/20M1385500zbMath1500.35280arXiv2012.10847OpenAlexW3113874571MaRDI QIDQ5097226

Levon Avanesyan, Ronnie Sircar

Publication date: 22 August 2022

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

Full work available at URL: https://arxiv.org/abs/2012.10847

zbMATH Keywords

optimal investmentforward performance processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Second-order elliptic equations (35J15) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• A dual characterization of self-generation and exponential forward performances
• Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
• Horizon-unbiased utility functions
• Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
• Explicit Description of HARA Forward Utilities and Their Optimal Portfolios
• Stochastic Partial Differential Equations and Portfolio Choice
• The stochastic Fubini theorem revisited
• Portfolio choice under dynamic investment performance criteria
• Optimal Asset Allocation under Forward Exponential Performance Criteria
• Volatility is rough
• A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility
• Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
• Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
• PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
• Unnamed Item

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