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q-fin.MF2015
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE
Gechun Liang, Thaleia Zariphopoulou
In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exp…
q-fin.MF2015
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou
We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. The dynamics of the prices of the traded assets depend…