Forward performance measurement with applications in indifference valuation

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...

書誌詳細
主要な著者:	Yusong, L, Yusong Li
その他の著者:	Zariphopoulou, T
フォーマット:	学位論文
言語:	English
出版事項:	2014

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