• Corpus ID: 210165075

Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors

  title={Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors},
  author={Lijun Bo and Agostino Capponi and Chao Zhou},
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor’s risk preferences are of the power form. We provide necessary and sufficient conditions for the existence of such FIPP. In a semimartingale factor model, we show that the FIPP can be recovered as a triplet of processes which admit an integral representation with respect to semimartingales. Using an integrated stochastic factor… 

Power Mixture Forward Performance Processes

We consider the forward investment problem in market models where the stock prices are continuous semimartingales adapted to a Brownian filtration. We construct a broad class of forward performance

A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models

This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the dynamics of the underlying stocks depends on the correlated stochastic factors.



Calcul stochastique et problèmes de martingales

Investments and forward utilities

This paper proposes a new approach for portfolio allocation. The novel concept of forward dynamic utility is introduced. General classes of such utilities are constructed by combining the local

Limit Theorems for Stochastic Processes

I. The General Theory of Stochastic Processes, Semimartingales and Stochastic Integrals.- II. Characteristics of Semimartingales and Processes with Independent Increments.- III. Martingale Problems

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

In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, representations of homothetic forward performance processes in factor-form are derived using ergodic BSDE and a connection between the forward processes and infinite horizon BSDE is developed.

Explicit Description of HARA Forward Utilities and Their Optimal Portfolios

This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded $d$-dimensional semimartingale, we elaborate a

The numéraire portfolio in semimartingale financial models

It is shown that the notion of a no-free-lunch-type notion is the minimal a-priori assumption required in order to proceed with utility optimization, something that the stronger NFLVR condition lacks.

Limit Theorems for Stochastic Processes (Springer-Verlag, New York)

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Convex Analysis (Princeton University Press, Princeton)

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Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

OST models of portfolio selection have M been one-period models. I examine the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model

Portfolio Choice under Space-Time Monotone Performance Criteria

The class of time-decreasing forward performance processes is analyzed in a portfolio choice model of Ito-type asset dynamics and their probabilistic properties are discussed.