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Optimal Asset Allocation under Forward Exponential Performance Criteria

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References

2005Stochastic Integration and Differential Equations4,594 cited
2005Controlled Markov Processes and Viscosity Solutions2,698 cited
1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
1990Stochastic Integration and Differential Equations1,195 cited
2007Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model73 cited

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2011CONDITIONAL CERTAINTY EQUIVALENT45 cited
2016Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations31 cited
2018An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior28 cited
2019Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion27 cited

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