A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
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DOI：
10.2139/ssrn.3601075
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发表时间：
2020-05
期刊：
影响因子：
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通讯作者：
Juan Li;Wenqiang Li;Gechun Liang
中科院分区：
文献类型：
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作者：
Juan Li;Wenqiang Li;Gechun Liang
研究了模型不确定的不完全市场中标的股票动态依赖于相关随机因素的最优远期投资问题。不确定性源于投资者选择的评估业绩的概率度量。结合零和随机微分对策和遍历Bundle方法，直接得到了幂鲁棒正向性能过程的因子形式表示。我们还建立了与风险敏感的零和随机微分对策在一个无限的地平线遍历支付标准，以及与经典的权力强大的期望效用的长期视野。
This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the dynamics of the underlying stocks depends 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 power robust forward performance process 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 power robust expected utility for long time horizons.