Forward performance measurement with applications in indifference valuation

<p>In this thesis, we present basic ideas and key results for forward performance measurement. Besides, we provide an explicit construction of the optimal processes of a class of time-monotone forward performance processes. Moreover, starting with a two parameter family risk tolerance function...

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Detalhes bibliográficos
Principais autores: Yusong, L, Yusong Li
Outros Autores: Zariphopoulou, T
Formato: Tese
Idioma:English
Publicado em: 2014
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author Yusong, L
Yusong Li
author2 Zariphopoulou, T
author_facet Zariphopoulou, T
Yusong, L
Yusong Li
author_sort Yusong, L
collection OXFORD
description <p>In this thesis, we present basic ideas and key results for forward performance measurement. Besides, we provide an explicit construction of the optimal processes of a class of time-monotone forward performance processes. Moreover, starting with a two parameter family risk tolerance function, we construct a class of forward performance processes. By letting the parameter go to zero, we obtain the forward exponential utility. Finally, using the forward exponential utility, we solve the integrated portfolio management problem by the so-called utility-based approach and compare it with its classical backward indifference counterpart.</p>
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spelling oxford-uuid:31d9809e-5ca3-4c41-8edc-684b6f63e7ec2022-03-26T13:10:30ZForward performance measurement with applications in indifference valuationThesishttp://purl.org/coar/resource_type/c_bdccuuid:31d9809e-5ca3-4c41-8edc-684b6f63e7ecEnglishMathematical Institute - ePrints2014Yusong, LYusong LiZariphopoulou, T<p>In this thesis, we present basic ideas and key results for forward performance measurement. Besides, we provide an explicit construction of the optimal processes of a class of time-monotone forward performance processes. Moreover, starting with a two parameter family risk tolerance function, we construct a class of forward performance processes. By letting the parameter go to zero, we obtain the forward exponential utility. Finally, using the forward exponential utility, we solve the integrated portfolio management problem by the so-called utility-based approach and compare it with its classical backward indifference counterpart.</p>
spellingShingle Yusong, L
Yusong Li
Forward performance measurement with applications in indifference valuation
title Forward performance measurement with applications in indifference valuation
title_full Forward performance measurement with applications in indifference valuation
title_fullStr Forward performance measurement with applications in indifference valuation
title_full_unstemmed Forward performance measurement with applications in indifference valuation
title_short Forward performance measurement with applications in indifference valuation
title_sort forward performance measurement with applications in indifference valuation
work_keys_str_mv AT yusongl forwardperformancemeasurementwithapplicationsinindifferencevaluation
AT yusongli forwardperformancemeasurementwithapplicationsinindifferencevaluation