forward performance Latest Research Papers

Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications

SSRN Electronic Journal ◽

10.2139/ssrn.3944223 ◽

2021 ◽

Author(s):

Gechun Liang ◽

Moris Simon Strub ◽

Yuwei Wang

Keyword(s):

Forward Performance

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Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem

Finance and Stochastics ◽

10.1007/s00780-020-00436-1 ◽

2020 ◽

Vol 24 (4) ◽

pp. 981-1011 ◽

Cited By ~ 1

Author(s):

Levon Avanesyan ◽

Mykhaylo Shkolnikov ◽

Ronnie Sircar

Keyword(s):

Factor Models ◽

Stochastic Factor ◽

Forward Performance

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Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes

SIAM Journal on Control and Optimization ◽

10.1137/18m1234783 ◽

2020 ◽

Vol 58 (4) ◽

pp. 2503-2534

Author(s):

Ying Hu ◽

Gechun Liang ◽

Shanjian Tang

Keyword(s):

Regime Switching ◽

Forward Performance

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Predictable Forward Performance Processes: The Binomial Case

SIAM Journal on Control and Optimization ◽

10.1137/18m1188653 ◽

2020 ◽

Vol 58 (1) ◽

pp. 327-347 ◽

Cited By ~ 1

Author(s):

Bahman Angoshtari ◽

Thaleia Zariphopoulou ◽

Xun Yu Zhou

Keyword(s):

Forward Performance

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Optical onboard double decoding/forward performance with long codes for optical routing

Optical Engineering ◽

10.1117/1.oe.58.2.027106 ◽

2019 ◽

Vol 58 (02) ◽

pp. 1

Author(s):

Wamidh Jalil Mazher ◽

Hadeel Tariq Ibrahim ◽

Yaareb M. Mathboob ◽

Osman N. Ucan

Keyword(s):

Forward Performance ◽

Optical Routing

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Topics in optimal reinsurance design, risk measures, and forward performance processes

10.5353/th_991044014366203414 ◽

2017 ◽

Author(s):

Wing-fung Chong

Keyword(s):

Risk Measures ◽

Optimal Reinsurance ◽

Forward Performance

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

SIAM Journal on Financial Mathematics ◽

10.1137/15m1048847 ◽

2017 ◽

Vol 8 (1) ◽

pp. 344-372 ◽

Cited By ~ 12

Author(s):

Gechun Liang ◽

Thaleia Zariphopoulou

Keyword(s):

Infinite Horizon ◽

Factor Models ◽

Stochastic Factor ◽

Forward Performance

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Competition among Managers and Optimal Portfolios under Relative Forward Performance Criteria

SSRN Electronic Journal ◽

10.2139/ssrn.2870040 ◽

2016 ◽

Author(s):

Tianran Geng ◽

Thaleia Zariphopoulou

Keyword(s):

Performance Criteria ◽

Optimal Portfolios ◽

Forward Performance

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Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations

SIAM Journal on Financial Mathematics ◽

10.1137/15m1016059 ◽

2016 ◽

Vol 7 (1) ◽

pp. 588-618 ◽

Cited By ~ 17

Author(s):

Mykhaylo Shkolnikov ◽

Ronnie Sircar ◽

Thaleia Zariphopoulou

Keyword(s):

Asymptotic Analysis ◽

Incomplete Markets ◽

Hjb Equations ◽

Ill Posed ◽

Forward Performance

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

SSRN Electronic Journal ◽

10.2139/ssrn.2870445 ◽

2016 ◽

Cited By ~ 2

Author(s):

Gechun Liang ◽

Thaleia Zariphopoulou

Keyword(s):

Infinite Horizon ◽

Factor Models ◽

Stochastic Factor ◽

Forward Performance

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forward performance
Recently Published Documents

TOTAL DOCUMENTS

H-INDEX

Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications

Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem

Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes

Predictable Forward Performance Processes: The Binomial Case

Optical onboard double decoding/forward performance with long codes for optical routing

Topics in optimal reinsurance design, risk measures, and forward performance processes

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

Competition among Managers and Optimal Portfolios under Relative Forward Performance Criteria

Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations

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

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forward performanceRecently Published Documents

TOTAL DOCUMENTS

H-INDEX

Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications

Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem

Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes

Predictable Forward Performance Processes: The Binomial Case

Optical onboard double decoding/forward performance with long codes for optical routing

Topics in optimal reinsurance design, risk measures, and forward performance processes

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

Competition among Managers and Optimal Portfolios under Relative Forward Performance Criteria

Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations

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

forward performance
Recently Published Documents