A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE

In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exponential and logarithmic) forward performance processes in factor-form using ergodic BSDE. We also develop a connection between the forward processes and infinite horizon BSDE, and, moreover, with risk-sensitive optim...

Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models∗

In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic forward investment performance processes (power, exponential and logarithmic). We develop a connection with ergodic and infinite horizon quadratic BSDE, and with a risk-sensitive control problem. We also develop a connection, fo...

A class of homothetic forward investment performance processes with non-zero volatility

We study forward investment performance processes with non-zero forward volatility. We focus on the class of homothetic preferences in a single stochastic factor model. The forward performance process is represented in a closed-form via a deterministic function of the wealth and the stochastic factor. This function is, in turn, given as a distortion transformation of the solution to a linear il...

Optimal Investment in Information System Security: A Game Theoretical Approach

a new approach to credibility premium for zero-inflated poisson models for panel data

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