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: | , |
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| Andre forfattere: | |
| Format: | Thesis |
| Sprog: | English |
| Udgivet: |
2014
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