Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria

36 Pages Posted: 12 Nov 2016 Last revised: 7 Mar 2017

See all articles by Tianran Geng

Tianran Geng

Boston Consulting Group

Thaleia Zariphopoulou

University of Texas at Austin (Mathematics and IROM)

Date Written: February 18, 2017

Abstract

We present turnpike-type results for the risk tolerance function in an incomplete market setting under time-monotone forward performance criteria. We show that, contrary to the classical case, the temporal and spatial limits do not coincide. We also show that they depend directly on the left- and right-end of the support of an underlying measure, which is used to construct the forward performance criterion. We provide examples with discrete and continuous measures, and discuss the asymptotic behavior of the risk tolerance for each case.

Suggested Citation

Geng, Tianran and Zariphopoulou, Thaleia, Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria (February 18, 2017). Available at SSRN: https://ssrn.com/abstract=2868166 or http://dx.doi.org/10.2139/ssrn.2868166

Tianran Geng

Boston Consulting Group ( email )

2501 N Harwood St
Suite 2200
Dallas, TX 75201
United States

Thaleia Zariphopoulou (Contact Author)

University of Texas at Austin (Mathematics and IROM) ( email )

CBA 5.202
Austin, TX 78712
United States

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