具有随机积分因子的半鞅市场中的幂型前向投资表现
概率论
2022-01-27 v4
摘要
我们研究在不完备半鞅市场模型且具有闭凸投资组合约束下，当投资者风险偏好为幂型时的前向投资表现过程（FIPP）。我们给出了构造此类表现过程的充分必要条件，并表明它可作为具有非单调驱动项的无限水平二次倒向随机微分方程（BSDE）的唯一解恢复。在随机积分因子模型中，我们将 BSDE 解的因子表示与一类不适定偏积分微分 Hamilton-Jacobi-Bellman（HJB）方程的光滑解相联系。我们给出了时间单调 FIPP 类的 BSDE 解的显式构造，将现有结果从布朗市场模型推广到半鞅市场模型。
引用
@article{arxiv.1811.11899,
title = {Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors},
author = {Lijun Bo and Agostino Capponi and Chao Zhou},
journal= {arXiv preprint arXiv:1811.11899},
year = {2022}
}
备注
40 pages, 0 figures. To appear in Mathematics of Operations Research; Previously this version appeared as arXiv:2201:09406 which was submitted as a new work by accident