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Thesis

Forward performance measurement with applications in indifference valuation

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 integ...

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Oxford college:
St Hugh's College
Role:
Author

Contributors

Role:
Supervisor
Publication date:
2014
Type of award:
MSc
Level of award:
Masters
Awarding institution:
Oxford University, UK
Language:
English
UUID:
uuid:31d9809e-5ca3-4c41-8edc-684b6f63e7ec
Local pid:
oai:eprints.maths.ox.ac.uk:1378
Deposit date:
2011-08-15

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