Portfolio Choice under Space-Time Monotone Performance Criteria | Zendy

Marek Musiela | Zendy; Thaleia Zariphopoulou | Zendy

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Portfolio Choice under Space-Time Monotone Performance Criteria

Author(s) -

Marek Musiela,

Thaleia Zariphopoulou

Publication year - 2010

Publication title -

siam journal on financial mathematics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.251

H-Index - 33

ISSN - 1945-497X

DOI - 10.1137/080745250

Subject(s) - portfolio , monotone polygon , probabilistic logic , asset (computer security) , class (philosophy) , mathematical economics , econometrics , portfolio optimization , mathematical optimization , economics , replicating portfolio , mathematics , space (punctuation) , computer science , financial economics , statistics , geometry , operating system , computer security , artificial intelligence

The class of time-decreasing forward performance processes is analyzed in a portfolio choice model of Itô-type asset dynamics. The associated optimal wealth and portfolio processes are explicitly constructed and their probabilistic properties are discussed. These formulae are, in turn, used in analyzing how the investor's preferences can be calibrated to the market, given his desired investment targets.

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