Predictable Forward Performance Processes: The Binomial Case

  title={Predictable Forward Performance Processes: The Binomial Case},
  author={Bahman Angoshtari and T. Zariphopoulou and X. Zhou},
  journal={Capital Markets: Asset Pricing & Valuation eJournal},
  • Bahman Angoshtari, T. Zariphopoulou, X. Zhou
  • Published 2016
  • Economics, Mathematics
  • Capital Markets: Asset Pricing & Valuation eJournal
  • We introduce a new class of forward performance processes that are endogenous and predictable with regards to an underlying market information set and, furthermore, are updated at discrete times. We analyze in detail a binomial model whose parameters are random and updated dynamically as the market evolves. We show that the key step in the construction of the associated predictable forward performance process is to solve a single-period inverse investment problem, namely, to determine, period… CONTINUE READING
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