英文标题：
《Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone
Performance Criteria》
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作者：
Tianran Geng and Thaleia Zariphopoulou
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最新提交年份：
2017
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英文摘要：
We present turnpike-type results for the risk tolerance function in an incomplete market setting under time-monotone forward performance criteria. We show that, contrary to the classical case, the temporal and spatial limits do not coincide. We also show that they depend directly on the left- and right-end of the support of an underlying measure, which is used to construct the forward performance criterion. We provide examples with discrete and continuous measures, and discuss the asymptotic behavior of the risk tolerance for each case.
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中文摘要：
在时间单调的远期绩效标准下，我们给出了不完全市场环境下风险容忍函数的收费公路型结果。我们表明，与经典情况相反，时间和空间限制并不重合。我们还表明，它们直接依赖于基础度量支持的左端和右端，该度量用于构建正向性能标准。我们提供了离散和连续测度的例子，并讨论了每种情况下风险容忍度的渐近行为。
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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
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