A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models

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. [doi]

Abstract

Abstract is missing.