• Corpus ID: 210165075

Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors

@inproceedings{Bo2018PowerFP,
  title={Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors},
  author={Lijun Bo and Agostino Capponi and Chao Zhou},
  year={2018}
}
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… 

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