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Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance · Study

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ChapterInvestment Performance Measurement Under Asymptotically Linear Local Risk Tolerance

Thaleia Zariphopoulou2009

Chapter2009

Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance

Thaleia Zariphopoulou

18 citations·0/0 files stored·Handbook of numerical analysis

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2007Valuing the option to invest in an incomplete market 2007Minimal Hellinger martingale measures of order q 2007Horizon-unbiased utility functions 2007Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model 2006Investments and forward utilities 2005Martingale problems for controlled processes 1981Lectures on stochastic control theory

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Details

Year2009

Typechapter

Published2009-01-01

VenueHandbook of numerical analysis

ISSN-L1570-8659

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s1570-8659(08)00006-9

openalex_workW287106121

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