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Portfolio choice under dynamic investment performance criteria

Citations

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Cited by:

  1. Tahir Choulli & Junfeng Ma, 2013. "Explicit Description of HARA Forward Utilities and Their Optimal Portfolios," Papers 1307.0785, arXiv.org.
  2. Xue Dong He & Moris S. Strub & Thaleia Zariphopoulou, 2019. "Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion," Papers 1904.01745, arXiv.org.
  3. Wenyuan Wang & Kaixin Yan & Xiang Yu, 2024. "Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors," Papers 2401.14672, arXiv.org.
  4. Xing, Hao, 2017. "Stability of the exponential utility maximization problem with respect to preferences," LSE Research Online Documents on Economics 57213, London School of Economics and Political Science, LSE Library.
  5. Tianran Geng & Thaleia Zariphopoulou, 2017. "Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria," Papers 1702.05649, arXiv.org.
  6. Wenyuan Wang & Kaixin Yan & Xiang Yu, 2023. "Optimal Portfolio with Ratio Type Periodic Evaluation under Short-Selling Prohibition," Papers 2311.12517, arXiv.org, revised Dec 2023.
  7. Michail Anthropelos & Tianran Geng & Thaleia Zariphopoulou, 2020. "Competition in Fund Management and Forward Relative Performance Criteria," Papers 2011.00838, arXiv.org.
  8. 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.
  9. 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.
  10. 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.
  11. Gechun Liang & Thaleia Zariphopoulou, 2015. "Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE," Papers 1511.04863, arXiv.org, revised Nov 2016.
  12. Bahman Angoshtari & Thaleia Zariphopoulou & Xun Yu Zhou, 2016. "Predictable Forward Performance Processes: The Binomial Case," Papers 1611.04494, arXiv.org, revised Mar 2019.
  13. Wing Fung Chong & Gechun Liang, 2018. "Optimal investment and consumption with forward preferences and uncertain parameters," Papers 1807.01186, arXiv.org, revised Nov 2023.
  14. Ng, Kenneth Tsz Hin & Chong, Wing Fung, 2024. "Optimal investment in defined contribution pension schemes with forward utility preferences," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 192-211.
  15. El Karoui & Mrad Mohamed & Caroline Hillairet, 2022. "Bi-revealed utilities in a defaultable universe : a new point of view on consumption," Working Papers hal-03919186, HAL.
  16. Gechun Liang & Moris S. Strub & Yuwei Wang, 2023. "Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1248-1286, October.
  17. Katia Colaneri & Alessandra Cretarola & Benedetta Salterini, 2021. "Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences," Papers 2106.13888, arXiv.org.
  18. Mahan Tahvildari, 2021. "Forward indifference valuation and hedging of basis risk under partial information," Papers 2101.00251, arXiv.org.
  19. Moawia, Alghalith, 2010. "Forward dynamic utilities: a new model and new results," MPRA Paper 21074, University Library of Munich, Germany.
  20. Goncalo dos Reis & Vadim Platonov, 2020. "Forward utility and market adjustments in relative investment-consumption games of many players," Papers 2012.01235, arXiv.org, revised Mar 2022.
  21. 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.
  22. Chen, An & Vellekoop, Michel, 2017. "Optimal investment and consumption when allowing terminal debt," European Journal of Operational Research, Elsevier, vol. 258(1), pages 385-397.
  23. 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.
  24. Katia Colaneri & Alessandra Cretarola & Benedetta Salterini, 2021. "Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
  25. 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.
  26. Katia Colaneri & Alessandra Cretarola & Benedetta Salterini, 2022. "Optimal investment and reinsurance under exponential forward preferences," Papers 2210.10425, arXiv.org.
  27. Frank Thomas Seifried, 2010. "Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach," Mathematics of Operations Research, INFORMS, vol. 35(3), pages 559-579, August.
  28. 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.
  29. Michail Anthropelos, 2011. "Forward Exponential Performances: Pricing and Optimal Risk Sharing," Papers 1109.3908, arXiv.org, revised Mar 2013.
  30. Hong Mao & Zhongkai Wen, 2020. "Optimal Decision on Dynamic Insurance Price and Investment Portfolio of an Insurer with Multi-dimensional Time-Varying Correlation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 29-51, March.
  31. Mykhaylo Shkolnikov & Ronnie Sircar & Thaleia Zariphopoulou, 2015. "Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations," Papers 1504.03209, arXiv.org, revised Sep 2015.
  32. 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.
  33. Wing Fung Chong & Gechun Liang, 2024. "Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach," Papers 2410.01378, arXiv.org.
  34. Phillip Monin, 2014. "On a dynamic adaptation of The Distribution Builder approach to investment decisions," Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 749-760, May.
  35. 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.
  36. Marek Musiela, 2022. "My journey through finance and stochastics," Finance and Stochastics, Springer, vol. 26(1), pages 33-58, January.
  37. Xue Dong He & Xun Yu Zhou, 2021. "Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation," Papers 2105.01829, arXiv.org.
  38. Sergey Nadtochiy & Michael Tehranchi, 2013. "Optimal investment for all time horizons and Martin boundary of space-time diffusions," Papers 1308.2254, arXiv.org, revised Jan 2014.
  39. Hans Follmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
  40. Phillip Monin, 2013. "On a dynamic adaptation of the Distribution Builder approach to investment decisions," Papers 1301.0907, arXiv.org.
  41. Biagini, Sara & Bion-Nadal, Jocelyne, 2014. "Dynamic quasi concave performance measures," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 143-153.
  42. Xiaoshan Chen & Qingshuo Song & Fahuai Yi & George Yin, 2011. "Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance," Papers 1201.0075, arXiv.org.
  43. Sigrid Kallblad & Jan Obloj & Thaleia Zariphopoulou, 2013. "Time--consistent investment under model uncertainty: the robust forward criteria," Papers 1311.3529, arXiv.org, revised Nov 2014.
  44. Jeong Yin Park, 2022. "Optimal portfolio selection of many players under relative performance criteria in the market model with random coefficients," Papers 2209.07411, arXiv.org.
  45. Nicole El Karoui & Mohamed Mrad, 2013. "An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE," Post-Print hal-00477381, HAL.
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