Related papers: Power Forward Performance in Semimartingale Market…
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change…
This article constructs a forward exponential utility in a market with multiple defaultable risks. Using the Jacod-Pham decomposition for random fields, we first characterize forward performance processes in a defaultable market under the…
We consider an energy storage problem involving a wind farm with a forecasted power output, a stochastic load, an energy storage device, and a connection to the larger power grid with stochastic prices. Electricity prices and wind power…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
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 depend on multiple observable stochastic factors, we construct a…
We introduce the concept of forward rank-dependent performance processes, extending the original notion to forward criteria that incorporate probability distortions. A fundamental challenge is how to reconcile the time-consistent nature of…
We consider a fractional version of the Heston volatility model which is inspired by [16]. Within this model we treat portfolio optimization problems for power utility functions. Using a suitable representation of the fractional part,…
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an $R^d$-valued continuous…
We address a portfolio selection problem that combines active (outperformance) and passive (tracking) objectives using techniques from convex analysis. We assume a general semimartingale market model where the assets' growth rate processes…
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal…
In this paper, We propose a new style panel data factor stochastic volatility model with observable factors and unobservable factors based on the multivariate stochastic volatility model, which is mainly composed of three parts, such as the…
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…
We investigate Wiener-transformable markets, where the driving process is given by an adapted transformation of a Wiener process. This includes processes with long memory, like fractional Brownian motion and related processes, and, in…
Affine processes play an important role in mathematical finance and other applied areas due to their tractable structure. In the present article, we derive probabilistic representations and integration by parts (IBP) formulas for…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
In this paper we study the forward integral of operator-valued processes with respect to a cylindrical Brownian motion. In particular, we provide conditions under which the approximating sequence of processes of the forward integral,…
While absence of arbitrage in frictionless financial markets requires price processes to be semimartingales, non-semimartingales can be used to model prices in an arbitrage-free way, if proportional transaction costs are taken into account.…
Stochastic integrals are defined with respect to a collection $P = (P_i; \, i \in I)$ of continuous semimartingales, imposing no assumptions on the index set $I$ and the subspace of $\mathbb{R}^I$ where $P$ takes values. The integrals are…
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian motion and a finite variation process. To solve this problem,…
We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using stochastic integral equation…