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A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models.
Juan Li
Wenqiang Li
Gechun Liang
Published in:
SIAM J. Financial Math. (2021)
Keyphrases
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stochastic processes
theoretical analysis
stochastic models
model selection
prior knowledge
stochastic model
mathematical models
complex systems
probabilistic model
computer games
random fields
process model
educational games
game play
game playing
forward and backward
decision trees
linear gaussian