Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
From MaRDI portal
Publication:2819095
DOI10.1137/15M1016059zbMath1410.91430arXiv1504.03209MaRDI QIDQ2819095
Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou
Publication date: 28 September 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.03209
incomplete markets; factor models; HJB equations; stochastic volatility models; optimal investment; multiscale asymptotic analysis; forward performance processes
90C39: Dynamic programming
93E20: Optimal stochastic control
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
91G10: Portfolio theory
Related Items
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models, Forward Exponential Indifference Valuation in an Incomplete Binomial Model, Stability of the Indirect Utility Process, Competition in Fund Management and Forward Relative Performance Criteria, Power Mixture Forward Performance Processes, 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, Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion, An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior, Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes, Linear inverse problems for Markov processes and their regularisation, Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem, Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Dynamically consistent investment under model uncertainty: the robust forward criteria
- Parameter and domain dependence of eigenvalues of elliptic partial differential equations
- Portfolio Choice with Transaction Costs: A User’s Guide
- An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets
- 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
- Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
- Portfolio Choice under Space-Time Monotone Performance Criteria
- Portfolio choice under dynamic investment performance criteria
- Optimal Asset Allocation under Forward Exponential Performance Criteria
- Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
- A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
- The Role of the Appell Transformation in the Theory of Heat Conduction
- Necessary and Sufficient Conditions for the Representation of a Function by a Weierstrass Transform
