Forward indifference valuation for dynamically incoming projects

DOI10.3934/puqr.2024011zbMath1542.91367MaRDI QIDQ6586872

Haoran Wang

Publication date: 13 August 2024

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

zbMATH Keywords

indifference pricingrisk decompositionadaptive forward criteriadynamically incoming projectsforward indifference valuationpredictable forward criteriarelative forward indifference valuation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Cites Work

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