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Optimal Investment For All Time Horizons And Martin Boundary Of Space-Time Diffusions

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  • Sergey Nadtochiy
  • Michael Tehranchi

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  • Sergey Nadtochiy & Michael Tehranchi, 2017. "Optimal Investment For All Time Horizons And Martin Boundary Of Space-Time Diffusions," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 438-470, April.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:2:p:438-470
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-2
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    Citations

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    Cited by:

    1. Chong, Wing Fung, 2019. "Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 93-107.
    2. Sergey Nadtochiy & Thaleia Zariphopoulou, 2018. "Optimal contract for a fund manager, with capital injections and endogenous trading constraints," Papers 1802.09165, arXiv.org.
    3. Moris S. Strub & Xun Yu Zhou, 2021. "Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes," Finance and Stochastics, Springer, vol. 25(2), pages 331-358, April.
    4. Michail Anthropelos & Tianran Geng & Thaleia Zariphopoulou, 2020. "Competition in Fund Management and Forward Relative Performance Criteria," Papers 2011.00838, arXiv.org.
    5. Sigrid Källblad & Jan Obłój & Thaleia Zariphopoulou, 2018. "Dynamically consistent investment under model uncertainty: the robust forward criteria," Finance and Stochastics, Springer, vol. 22(4), pages 879-918, October.
    6. Lin, Qian & Sun, Xianming & Zhou, Chao, 2020. "Horizon-unbiased investment with ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
    7. Gechun Liang & Moris S. Strub & Yuwei Wang, 2023. "Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management," Papers 2311.04841, arXiv.org, revised Dec 2023.
    8. Juan Li & Wenqiang Li & Gechun Liang, 2020. "A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models," Papers 2005.10660, arXiv.org, revised May 2021.
    9. Ying Hu & Gechun Liang & Shanjian Tang, 2018. "Systems of ergodic BSDEs arising in regime switching forward performance processes," Papers 1807.01816, arXiv.org, revised Jun 2020.
    10. Qian Lin & Xianming Sun & Chao Zhou, 2019. "Horizon-unbiased Investment with Ambiguity," Papers 1904.09379, arXiv.org.
    11. Wing Fung Chong & Gechun Liang, 2018. "Optimal investment and consumption with forward preferences and uncertain parameters," Papers 1807.01186, arXiv.org, revised Nov 2023.
    12. Gechun Liang & Moris S. Strub & Yuwei Wang, 2021. "Predictable Forward Performance Processes: Infrequent Evaluation and Applications to Human-Machine Interactions," Papers 2110.08900, arXiv.org, revised Dec 2023.
    13. Nicole El Karoui & Mohamed Mrad, 2020. "Recover Dynamic Utility from Observable Process: Application to the economic equilibrium," Working Papers hal-01966312, HAL.
    14. Xue Dong He & Moris S. Strub & Thaleia Zariphopoulou, 2021. "Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 683-721, April.
    15. Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019. "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Finance and Stochastics, Springer, vol. 23(1), pages 239-273, January.

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