Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions (Q6146692): Difference between revisions

Latest revision as of 09:47, 26 August 2024

scientific article; zbMATH DE number 7797379

Language	Label	Description	Also known as
English	Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions	scientific article; zbMATH DE number 7797379

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instance of

scholarly article

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title

Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions (English)

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31 January 2024

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full work available at URL

https://arxiv.org/abs/2110.08900

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zbMATH Keywords

automated trading

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binomial tree model

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forward performance processes

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functional equation

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portfolio selection

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robo-advising

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MaRDI profile type

MaRDI publication profile

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cites work

Predictable forward performance processes in complete markets

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Predictable Forward Performance Processes: The Binomial Case

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Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem

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Q5263525

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Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences

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Minimal Hellinger martingale measures of order \(q\)

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Risk and potential: an asset allocation framework with applications to robo-advising

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Consistent utility of investment and consumption: a forward/backward SPDE viewpoint

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Ramsey rule with forward/backward utility for long-term yield curves modeling

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An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE

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Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium

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Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion

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Horizon-unbiased utility functions

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Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes

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Black's Inverse Investment Problem and Forward Criteria with Consumption

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Dynamically consistent investment under model uncertainty: the robust forward criteria

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The asymptotic elasticity of utility functions and optimal investment in incomplete markets

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Linear integral equations

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Q4040882

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Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE

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Optimal Asset Allocation under Forward Exponential Performance Criteria

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Portfolio choice under dynamic investment performance criteria

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Portfolio Choice under Space-Time Monotone Performance Criteria

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Q5386129

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Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations

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Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes

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The Classical Theory of Integral Equations

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A dual characterization of self-generation and exponential forward performances

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Identifiers

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6146692

@@ Property / cites work @@
+Predictable forward performance processes in complete markets
+Normal rank
@@ Property / cites work @@
+Predictable Forward Performance Processes: The Binomial Case
+Normal rank
@@ Property / cites work @@
+Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
+Normal rank
@@ Property / cites work @@
+Q5263525
@@ Property / cites work: Q5263525 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
+Normal rank
@@ Property / cites work @@
+Minimal Hellinger martingale measures of order \(q\)
+Normal rank
@@ Property / cites work @@
+Risk and potential: an asset allocation framework with applications to robo-advising
+Normal rank
@@ Property / cites work @@
+Consistent utility of investment and consumption: a forward/backward SPDE viewpoint
+Normal rank
@@ Property / cites work @@
+Ramsey rule with forward/backward utility for long-term yield curves modeling
+Normal rank
@@ Property / cites work @@
+An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
+Normal rank
@@ Property / cites work @@
+Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium
+Normal rank
@@ Property / cites work @@
+Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
+Normal rank
@@ Property / cites work @@
+Horizon-unbiased utility functions
@@ Property / cites work: Horizon-unbiased utility functions / rank @@
+Normal rank
@@ Property / cites work @@
+Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes
+Normal rank
@@ Property / cites work @@
+Black's Inverse Investment Problem and Forward Criteria with Consumption
+Normal rank
@@ Property / cites work @@
+Dynamically consistent investment under model uncertainty: the robust forward criteria
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Linear integral equations
@@ Property / cites work: Linear integral equations / rank @@
+Normal rank
@@ Property / cites work @@
+Q4040882
@@ Property / cites work: Q4040882 / rank @@
+Normal rank
@@ Property / cites work @@
+Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
+Normal rank
@@ Property / cites work @@
+Optimal Asset Allocation under Forward Exponential Performance Criteria
+Normal rank
@@ Property / cites work @@
+Portfolio choice under dynamic investment performance criteria
+Normal rank
@@ Property / cites work @@
+Portfolio Choice under Space-Time Monotone Performance Criteria
+Normal rank
@@ Property / cites work @@
+Q5386129
@@ Property / cites work: Q5386129 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
+Normal rank
@@ Property / cites work @@
+Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
+Normal rank
@@ Property / cites work @@
+The Classical Theory of Integral Equations
@@ Property / cites work: The Classical Theory of Integral Equations / rank @@
+Normal rank
@@ Property / cites work @@
+A dual characterization of self-generation and exponential forward performances
+Normal rank