SIAM Journal on Financial Mathematics, Volume 12, Issue 3, Page 867-897, January 2021.
This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the underlying stocks depend on the correlated stochastic factors. The uncertainty stems from the probability measure chosen by an investor to evaluate the performance. We obtain directly the representation of the homothetic robust forward performance processes in factor form by combining the zero-sum stochastic differential game and ergodic backward SDE approach. We also establish the connections with the risk-sensitive zero-sum stochastic differential games over an infinite horizon with ergodic payoff criteria, as well as with the classical robust expected utilities for long time horizons. Finally, we give an example to illustrate that our approach can be applied to address a type of robust forward investment performance process with negative realization processes.

中文翻译：

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随机因子模型中相似稳健远期投资绩效过程的博弈论方法

SIAM 金融数学杂志，第 12 卷，第 3 期，第 867-897 页，2021 年 1 月。
本文研究了具有模型不确定性的不完全市场中的最优远期投资问题，其中标的股票取决于相关的随机因素。不确定性源于投资者为评估业绩而选择的概率度量。我们通过结合零和随机微分博弈和遍历后向 SDE 方法，直接获得因子形式的相似鲁棒前向性能过程的表示。我们还建立了与具有遍历支付标准的无限范围内的风险敏感零和随机微分博弈的联系，以及与长期范围内的经典稳健预期效用的联系。最后，