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• W2175323684 abstract "In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic forward investment performance processes (power, exponential and logarithmic). We develop a connection with ergodic and infinite horizon quadratic BSDE, and with a risk-sensitive control problem. We also develop a connection, for large trading horizons, with a family of traditional homothetic value function processes." @default.
• W2175323684 created "2016-06-24" @default.
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• W2175323684 date "2015-11-16" @default.
• W2175323684 modified "2023-09-27" @default.
• W2175323684 title "Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models" @default.
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• W2175323684 hasPublicationYear "2015" @default.
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