Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem

Mathematics

• Factor Models 100%
• Optimal Portfolio 75%
• Stochastic Model 74%
• Parabolic Partial Differential Equations 56%
• Performance 46%
• Incomplete Markets 38%
• Portfolio Selection 35%
• Theorem 31%
• Correlation Matrix 30%
• Linear partial differential equation 28%
• Finance 27%
• Laplace 25%
• Nonlinear Partial Differential Equations 25%
• Inversion 23%
• Class 23%
• Equality 20%
• Eigenvalue 16%
• Form 10%

Business & Economics

• Process Performance 90%
• Nonlinear Partial Differential Equations 41%
• Optimal Portfolio Selection 36%
• Power Utility 34%
• Partial Differential Equations 32%
• Eigenvalues 32%
• Correlation Matrix 32%
• Investment Performance 30%
• Incomplete Markets 30%
• Performance Criteria 30%
• Optimal Portfolio 27%
• Equality 26%
• Finance 25%
• Assets 15%
• Factors 9%