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...
| Main Authors: | , |
|---|---|
| 其他作者: | |
| 格式: | Thesis |
| 语言: | English |
| 出版: |
2014
|