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Optimal Asset Allocation under Forward Exponential Performance Criteria

Marek Musiela and Thaleia Zariphopoulou

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Abstract

This work presents a novel concept in stochastic optimization, namely, the notion of forward performance. As an application, we analyze a portfolio management problem with exponential criteria. Under minimal model assumptions we explicitly construct the forward performance process and the associated optimal wealth and asset allocations. For various model parameters, we recover a range of investment policies that correspond to distinct financial applications.

Chapter information

Source
Stewart N. Ethier, Jin Feng and Richard H. Stockbridge, eds., Markov Processes and Related Topics: A Festschrift for Thomas G. Kurtz (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2008), 285-300

Dates
First available in Project Euclid: 28 January 2009

Permanent link to this document
https://projecteuclid.org/euclid.imsc/1233152948

Digital Object Identifier
doi:10.1214/074921708000000435

Mathematical Reviews number (MathSciNet)
MR2574237

Zentralblatt MATH identifier
1175.91163

Rights
Copyright © 2008, Institute of Mathematical Statistics

Citation

Musiela, Marek; Zariphopoulou, Thaleia. Optimal Asset Allocation under Forward Exponential Performance Criteria. Markov Processes and Related Topics: A Festschrift for Thomas G. Kurtz, 285--300, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2008. doi:10.1214/074921708000000435. https://projecteuclid.org/euclid.imsc/1233152948


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References

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