In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic forward investment performance processes (power, exponential and logarithmic) . We develop a connection with ergodic and infinite horizon quadratic BSDE, and with a risk-sensitive control problem. We also develop a connection, for large trading horizons, with a family of traditional homothetic value function processes  .
In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exponential and logarithmic) forward performance processes in factor-form using ergodic BSDE. We also develop a connection between the forward processes and infinite horizon BSDE, and , moreover, with risk-sensitive optimization. In addition, we develop a connection, for large time horizons, with a family of classical homothetic value function processes with random endowments .
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forward investment performance processes
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. We
forward performance processes in factor-form using ergodic BSDE. We also
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with ergodic
between the forward processes
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quadratic
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with a
, moreover, with
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control problem. We also
optimization. In addition, we
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trading
time
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traditional
classical
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with random endowments