Forward indifference valuation for dynamically incoming projects
DOI10.3934/PUQR.2024011zbMATH Open1542.91367MaRDI QIDQ6586872FDOQ6586872
Authors: Haoran Wang 
Publication date: 13 August 2024
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
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indifference pricingrisk decompositionadaptive forward criteriadynamically incoming projectsforward indifference valuationpredictable forward criteriarelative forward indifference valuation
Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
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- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- An example of indifference prices under exponential preferences
- Stochastic Partial Differential Equations and Portfolio Choice
- Portfolio choice under dynamic investment performance criteria
- An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE
- Portfolio choice under space-time monotone performance criteria
- Title not available (Why is that?)
- A dual characterization of self-generation and exponential forward performances
- A class of homothetic forward investment performance processes with non-zero volatility
- Optimal investment for all time horizons and Martin boundary of space-time diffusions
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