We study a portfolio management problem featuring many-player and mean field
competition, investment and consumption, and relative performance concerns under the …

We study discrete‐time predictable forward processes when trading times do not coincide
with performance evaluation times in a binomial tree model for the financial market. The key …

In an Itô-diffusion market, two fund managers trade under relative performance concerns.
For both the asset specialization and diversification settings, we analyze the passive and …

Optimal investment strategies of an individual worker during the accumulation phase in the
defined contribution pension scheme have been well studied in the literature. Most of them …

We introduce the concept of forward rank‐dependent performance criteria, extending the
original notion to forward criteria that incorporate probability distortions. A fundamental …

We introduce a new approach for optimal portfolio choice under model ambiguity by
incorporating predictable forward preferences in the framework of Angoshtari et al.[2]. The …

By applying the principle of equivalent forward preferences, this paper revisits the pricing
and hedging problems for equity-linked life insurance contracts. The equity-linked …

We establish existence of Predictable Forward Performance Processes (PFPPs) in complete
markets, which has been previously shown only in the binomial setting. Our market model …

We study portfolio management within a competitive environment under a new framework of
predictable relative forward performance processes (PRFPP). Each agent trades a distinct …

We extend the notion of forward performance criteria to settings with random endowment in
incomplete markets. Building on these results, we introduce and develop the novel concept …