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

Research output: Working paper

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Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models. / Liang, Gechun; Zariphopoulou, Thaleia.

2015.

Research output: Working paper

Harvard

Liang, G & Zariphopoulou, T 2015 'Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models'.

APA

Liang, G., & Zariphopoulou, T. (2015). Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models.

Vancouver

Liang G, Zariphopoulou T. Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models. 2015 Nov 16.

Author

Liang, Gechun ; Zariphopoulou, Thaleia. / Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models. 2015.

Bibtex Download

@techreport{693abb90eb1b431f8639f2da85f04901,
title = "Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models",
abstract = "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, for large trading horizons, with a family of traditional homothetic value function processes.",
keywords = "q-fin.MF",
author = "Gechun Liang and Thaleia Zariphopoulou",
note = "30 pages",
year = "2015",
month = "11",
day = "16",
language = "English",
type = "WorkingPaper",

}

RIS (suitable for import to EndNote) Download

TY - UNPB

T1 - Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models

AU - Liang, Gechun

AU - Zariphopoulou, Thaleia

N1 - 30 pages

PY - 2015/11/16

Y1 - 2015/11/16

N2 - 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, for large trading horizons, with a family of traditional homothetic value function processes.

AB - 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, for large trading horizons, with a family of traditional homothetic value function processes.

KW - q-fin.MF

M3 - Working paper

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

ER -

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