Rank-dependent predictable forward performance processes

DOI10.3934/PUQR.2024010MaRDI QIDQ6586871zbMATH OpenFDO

Authors Bahman Angoshtari, Shida Duan

Publication date 13 August 2024

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

Full work available at URL https://doi.org/10.3934/PUQR.2024010

zbMATH Keywords

completely monotonic inverse marginalsforward performance criteriainverse investment problemsprobability distortionrank dependent utilitytime consistencyVolterra integral equations

Mathematics Subject Classification ID

Volterra integral equations (45D05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Utility theory (91B16) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(3)

• Predictable forward performance processes in complete markets
• Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
• Robust forward investment and consumption under drift and volatility uncertainties: a randomization approach

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