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...
| Principais autores: | , |
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| Outros Autores: | |
| Formato: | Tese |
| Idioma: | English |
| Publicado em: |
2014
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| _version_ | 1826266080745619456 |
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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> |
| first_indexed | 2024-03-06T20:33:31Z |
| format | Thesis |
| id | oxford-uuid:31d9809e-5ca3-4c41-8edc-684b6f63e7ec |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T20:33:31Z |
| publishDate | 2014 |
| record_format | dspace |
| 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 |