英文标题：
《Representation of homothetic forward performance processes in stochastic
factor models via ergodic and infinite horizon BSDE》
---
作者：
Gechun Liang, Thaleia Zariphopoulou
---
最新提交年份：
2016
---
英文摘要：
In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exponential and logarithmic) forward performance processes in factor-form using ergodic BSDE. We also develop a connection between the forward processes and infinite horizon BSDE, and, moreover, with risk-sensitive optimization. In addition, we develop a connection, for large time horizons, with a family of classical homothetic value function processes with random endowments.
---
中文摘要：
在不完全市场中，由于不完全性源于与标的股票不完全相关的随机因素，我们使用遍历BSDE导出了因子形式的同质（幂、指数和对数）正向性能过程的表示。我们还开发了远期过程与无限期BSDE之间的联系，以及与风险敏感优化之间的联系。此外，对于大的时间范围，我们建立了一个与一系列具有随机禀赋的经典同位旋值函数过程的联系。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->