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Predictable Forward Performance Processes: The Binomial Case

https://doi.org/10.1137/18m1188653
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-3-319-02069-3_22openalex-snapshot
A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility
inferredcites →https://doi.org/10.1007/978-3-642-03479-4_11openalex-snapshot
Stochastic Partial Differential Equations and Portfolio Choice
inferredcites →https://doi.org/10.1016/0304-405x(89)90095-0openalex-snapshot
Business conditions and expected returns on stocks and bonds
inferredcites →https://doi.org/10.1017/cbo9781139086639openalex-snapshot
Iterative Functional Equations
inferredcites →https://doi.org/10.1080/14697680802624997openalex-snapshot
Portfolio choice under dynamic investment performance criteria
inferredcites →https://doi.org/10.1111/1467-9868.00336openalex-snapshot
Econometric analysis of realised volatility and its use in estimating stochastic volatility models
inferredcites →https://doi.org/10.1111/mafi.12092openalex-snapshot
OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE‐TIME DIFFUSIONS
inferredcites →https://doi.org/10.1137/080739732openalex-snapshot
Maturity-Independent Risk Measures
inferredcites →https://doi.org/10.1137/080745250openalex-snapshot
Portfolio Choice under Space-Time Monotone Performance Criteria
inferredcites →https://doi.org/10.1137/10081143xopenalex-snapshot
An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE
inferredcites →https://doi.org/10.1137/15m1016059openalex-snapshot
Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
inferredcites →https://doi.org/10.1142/s0219024911006267openalex-snapshot
INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
inferredcites →https://doi.org/10.1201/9781420050066openalex-snapshot
Handbook of Integral Equations
inferredcites →https://doi.org/10.1214/09-aap607openalex-snapshot
A dual characterization of self-generation and exponential forward performances

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4773271openalex-extracted
Rank-Dependent Predictable Forward Performance Processes
inferred← citeshttps://doi.org/10.1007/s00245-025-10318-7openalex-snapshot
Inference of Utilities and Time Preference in Sequential Decision-Making
inferred← citeshttps://doi.org/10.1007/s00780-020-00444-1openalex-snapshot
Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes
inferred← citeshttps://doi.org/10.1007/s10107-025-02208-1openalex-snapshot
Preference ambiguity and robustness in multistage decision making
inferred← citeshttps://doi.org/10.1007/s11579-020-00290-xopenalex-snapshot
Stochastic dynamic utilities and intertemporal preferences
inferred← citeshttps://doi.org/10.1007/s40305-022-00400-0openalex-snapshot
Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2019.06.003openalex-snapshot
Pricing and Hedging Equity-Linked Life Insurance Contracts Beyond the Classical Paradigm: The Principle of Equivalent Forward Preferences
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2023.12.001openalex-snapshot
Optimal investment in defined contribution pension schemes with forward utility preferences
inferred← citeshttps://doi.org/10.1111/mafi.12298openalex-snapshot
Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion
inferred← citeshttps://doi.org/10.1111/mafi.12408openalex-snapshot
Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
inferred← citeshttps://doi.org/10.1137/20m1334280openalex-snapshot
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
inferred← citeshttps://doi.org/10.1137/20m1376169openalex-snapshot
Competition in Fund Management and Forward Relative Performance Criteria
inferred← citeshttps://doi.org/10.1137/24m1699140openalex-snapshot
Robust Forward Investment and Consumption under Drift and Volatility Uncertainties: A Randomization Approach
inferred← citeshttps://doi.org/10.1142/s2424786325500148openalex-snapshot
Predictable forward utility processes under ambiguity
inferred← citeshttps://doi.org/10.1287/moor.2020.1101openalex-snapshot
Time-Consistent Conditional Expectation Under Probability Distortion
inferred← citeshttps://doi.org/10.1515/9783112228180-022openalex-snapshot
31316 Pricing defaultable securities when the dividend process is being driven by the semimartingale
inferred← citeshttps://doi.org/10.2139/ssrn.2870040openalex-snapshot
Competition among Managers and Optimal Portfolios under Relative Forward Performance Criteria
inferred← citeshttps://doi.org/10.2139/ssrn.3944223openalex-snapshot
Predictable Forward Performance Processes: Infrequent Evaluation and Applications to Human-Machine Interactions
inferred← citeshttps://doi.org/10.2139/ssrn.4259381openalex-snapshot
Predictable Forward Performance Processes in Complete Markets
inferred← citeshttps://doi.org/10.2139/ssrn.4651189openalex-snapshot
Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
inferred← citeshttps://doi.org/10.3934/puqr.2023007openalex-snapshot
Predictable forward performance processes in complete markets
inferred← citeshttps://doi.org/10.3934/puqr.2024004openalex-snapshot
Optimal investment and consumption with forward preferences and uncertain parameters
inferred← citeshttps://doi.org/10.3934/puqr.2024005openalex-snapshot
G -forward performance process and representation of homothetic case via ergodic quadratic G -BSDE
inferred← citeshttps://doi.org/10.3934/puqr.2024006openalex-snapshot
Forward robust portfolio selection: The binomial case
inferred← citeshttps://doi.org/10.70675/0f700f85z6c9cz4873zb41fz4fbb0d59adeaopenalex-snapshot
Decision-making and dynamic preferences : theory and numerical approximation
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