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

Keyphrases

• Forward Performance Processes 100%
• Stochastic Factor Model 100%
• Time Direction 100%
• Large Classes 50%
• Eigenvalues 50%
• Correlation Matrix 50%
• Incomplete Markets 50%
• Performance Criteria 50%
• Power Utility 50%
• Optimal Portfolio 50%
• Right Time 50%
• Parabolic Partial Differential Equations 50%
• Laplace Inversion 50%
• Stochastic Factors 50%
• Forward Investment Performance 50%
• Optimal Portfolio Selection 50%
• Linear Parabolic 50%
• Nonlinear Parabolic Partial Differential Equation 50%
• Widder's Theorem 50%

Mathematics

• Stochastics 100%
• Partial Differential Equation 100%
• Parabolic 100%
• Initial Datum 50%
• Eigenvalue 50%
• Correlation Matrix 50%
• Explicit Form 50%

Economics, Econometrics and Finance

• Finance 100%
• Incomplete Market 100%
• Portfolio Selection 100%
• Factor Model 100%