"A Game Theoretical Approach to Homothetic Robust Forward Investment ..."

Juan Li, Wenqiang Li, Gechun Liang (2021)

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DOI: 10.1137/20M1334280

access: closed

type: Journal Article

metadata version: 2021-11-03

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Juan Li, Wenqiang Li, Gechun Liang:
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models. SIAM J. Financial Math. 12(3): 867-897 (2021)

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