Cover Image

Passive and Competitive Investment Strategies under Relative Forward Performance Criteria

In an Ito-diffusion market, we consider two fund managers who trade under relative performance concerns, depending on each other's strategies. We analyze both the passive and the competitive cases, and under both asset specialization and diversification. To allow for dynamic model revision and flexible investment horizons, we introduce the concept of relative forward performance for the passive case and the notion of forward Nash equilibrium for the competitive one. For homothetic forward criteria, we provide explicit solutions for all cases
Year of publication:
2017
Authors: Geng, Tianran
Other Persons: Zariphopoulou, Thaleia (contributor)
Publisher: [2017]: [S.l.] : SSRN
freely available
Full text |
doi.org
Check Google Scholar
In German libraries (KVK)
I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10012967423
Similar items by person