Predictable Forward Performance Processes: The Binomial Case

DOI10.1137/18M1188653zbMath1431.91350arXiv1611.04494OpenAlexW3001997947WikidataQ126308075 ScholiaQ126308075MaRDI QIDQ5212015

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Publication date: 24 January 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.04494

zbMATH Keywords

functional equationpredictabilityportfolio selectionbinomial modelforward performance processesinverse investment problem

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (10)

Competition in Fund Management and Forward Relative Performance Criteria ⋮ Risk and potential: an asset allocation framework with applications to robo-advising ⋮ Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ Predictable forward performance processes in complete markets ⋮ Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Black's Inverse Investment Problem and Forward Criteria with Consumption ⋮ 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 ⋮ Time-Consistent Conditional Expectation Under Probability Distortion

Cites Work

• Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
• An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
• Stochastic Partial Differential Equations and Portfolio Choice
• INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
• Portfolio Choice under Space-Time Monotone Performance Criteria
• Portfolio choice under dynamic investment performance criteria
• A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility
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