A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models
| Autor: | Wenqiang Li, Juan Li, Gechun Liang |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Mathematical optimization
Computer science HG Homothetic transformation FOS: Economics and business Portfolio Management (q-fin.PM) Incomplete markets Differential game Econometrics Economics FOS: Mathematics Ergodic theory QA Investment performance Quantitative Finance - Portfolio Management Expected utility hypothesis Factor analysis Probability measure Numerical Analysis Applied Mathematics Stochastic game Probability (math.PR) Investment (macroeconomics) Mathematical Finance (q-fin.MF) 91G10 91G80 49N90 Quantitative Finance - Mathematical Finance Finance Mathematics - Probability |
| ISSN: | 1945-497X |
| Popis: | This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the underlying stocks depend on the correlated stochastic factors. The uncertainty stems from the probability measure chosen by an investor to evaluate the performance. We obtain directly the representation of the homothetic robust forward performance processes in factor-form by combining the zero-sum stochastic differential game and ergodic BSDE approach. We also establish the connections with the risk-sensitive zero-sum stochastic differential games over an infinite horizon with ergodic payoff criteria, as well as with the classical robust expected utilities for long time horizons. Finally, we give an example to illustrate that our approach can be applied to address a type of robust forward investment performance processes with negative realization processes. Comment: 36 pages |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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