12 citations · 34 across the 14 of their papers we have counts for
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math.PR2018
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors
Lijun Bo, Agostino Capponi, Chao Zhou
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk prefe…
math.PR2018
Second order stochastic target problems with generalized market impact
Bruno Bouchard, Grégoire Loeper, Halil Mete Soner +1
We extend the study of [7, 18] to stochastic target problems with general market impacts. Namely, we consider a general abstract model which can be associated to a fully nonlinear…