Power forward performance in semimartingale markets with stochastic integrated factors
Lijun Bo, Agostino Capponi, Chao Zhou
| Year of publication: |
2023
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|---|---|
| Authors: | Bo, Lijun ; Capponi, Agostino ; Zhou, Chao |
| Published in: |
Mathematics of operations research. - Hanover, Md. : INFORMS, ISSN 1526-5471, ZDB-ID 2004273-5. - Vol. 48.2023, 1, p. 288-312
|
| Subject: | forward performance process | ill-posed HJB equation | portfolio constraints | semimartingale market | time-monotone process | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Martingal | Martingale |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2022.1262 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014312552