2 papers
q-fin.MF2020
Power mixture forward performance processes
Levon Avanesyan, Ronnie Sircar
We consider the forward investment problem in market models where the stock prices are continuous semimartingales adapted to a Brownian filtration. We construct a broad class of fo…
q-fin.MF2018
Construction of Forward Performance Processes in Stochastic Factor Models and an Extension of Widder's Theorem
Levon Avanesyan, Mykhaylo Shkolnikov, Ronnie Sircar
We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. Given multiple traded assets, the prices of which depe…