摘要翻译：
在Markovian随机波动模型中，我们考虑了投资准则由前向指数业绩过程建模的金融主体。首先讨论了未定权益无差别估价问题，证明并讨论了未定权益无差别估价的若干性质。特别注意正向指数效用无差异估值与反向指数效用无差异估值的比较。此外，我们构造了在这种正向环境下的最优风险分担问题，并在代理的正向性能准则为指数时求解了该问题。
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英文标题：
《Forward Exponential Performances: Pricing and Optimal Risk Sharing》
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作者：
Michail Anthropelos
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a number of properties are proved and discussed. Special attention is given to the comparison between the forward exponential and the backward exponential utility indifference valuation. In addition, we construct the problem of optimal risk sharing in this forward setting and solve it when the agents' forward performance criteria are exponential.
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PDF链接：
https://arxiv.org/pdf/1109.3908