论文标题
电源混合物前进性能过程
Power mixture forward performance processes
论文作者
论文摘要
我们考虑了市场模型中的前瞻性投资问题，在市场模型中，股票价格是连续适合布朗尼过滤的股票。我们构建了一类广泛的前向性能过程，具有功率混合类型的初始条件，$ u（x）= \ int _ {\ mathbb {i}}} \ frac {x^{1-γ}}} {1-γ} {1-γ} v（\ m athrm {d}γ）γ$。我们继续定义并充分表征具有恒定风险厌恶系数在间隔$（0,1）$中的两种功率混合物的前进性能过程，并在风险厌恶系数是连续的随机过程中得出两功率混合物前进性能过程的属性。最后，我们讨论了管理两个投资者的投资池的问题，他们的偏好随着大型绩效流程而演变。
We consider the forward investment problem in market models where the stock prices are continuous semimartingales adapted to a Brownian filtration. We construct a broad class of forward performance processes with initial conditions of power mixture type, $u(x) = \int_{\mathbb{I}} \frac{x^{1-γ}}{1-γ}ν(\mathrm{d} γ)$. We proceed to define and fully characterize two-power mixture forward performance processes with constant risk aversion coefficients in the interval $(0,1)$, and derive properties of two-power mixture forward performance processes when the risk aversion coefficients are continuous stochastic processes. Finally, we discuss the problem of managing an investment pool of two investors, whose respective preferences evolve as power forward performance processes.
