The Mathematical Institute, University of Oxford, Eprints Archive

Forward Performance Measurement with Applications in Indifference Valuation

Li, Yusong (0002) Forward Performance Measurement with Applications in Indifference Valuation. Masters thesis, oxford university.

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Abstract

In this thesis, we present basic ideas and key results for forward performance measurement. Besides, we provide an explicit construction of the optimal processes of a class of time-monotone forward performance processes. Moreover, starting with a two parameter family risk tolerance function, we construct a class of forward performance processes. By letting the parameter go to zero, we obtain the forward exponential utility. Finally, using the forward exponential utility, we solve the integrated portfolio management problem by the so-called utility-based approach and compare it with its classical backward indifference counterpart.

Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:1378
Deposited By:Laura Auger
Deposited On:13 Aug 2011 09:58
Last Modified:13 Aug 2011 09:58

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