论文标题
具有随机综合因素的半明星市场的大前锋绩效
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors
论文作者
论文摘要
当投资者的风险偏好是权力形式时，我们将在不完整的半明星市场模型中研究远期投资绩效过程（FIPP）。我们为存在这种FIPP提供了必要和充分的条件。在半明星因子模型中，我们表明可以将FIPP恢复为流程的三联体，该过程允许相对于半明星的积分表示。使用集成的随机因子模型，我们将过程的三胞胎的因子表示与不适合部分的局部整体不同差异性汉密尔顿 - 雅各布·贝尔曼（HJB）方程的平滑溶液相关联。我们为时间 - 孔酮Fipps类别开发了明确的结构，从而将现有的结果从布朗尼到半明星市场模型。
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk preferences are of the power form. We provide necessary and sufficient conditions for the existence of such FIPP. In a semimartingale factor model, we show that the FIPP can be recovered as a triplet of processes which admit an integral representation with respect to semimartingales. Using an integrated stochastic factor model, we relate the factor representation of the triplet of processes to the smooth solution of an ill-posed partial integro-differential Hamilton-Jacobi-Bellman (HJB) equation. We develop explicit constructions for the class of time-monotone FIPPs, generalizing existing results from Brownian to semimartingale market models.
