Optimal long term investment under model ambiguity:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin
2009
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | V, 169 S. |
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Datensatz im Suchindex
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| adam_text | OPTIMAL LONG TERM INVESTMENT UNDER MODEL AMBIGUITY DISSERTATION ZUR
ERLANGUNG DES AKADEMISCHEN GRADES DOCTOR RERUM NATURALIUM (DR. RER.
NAT.) IM FACH MATHEMATIK EINGEREICHT AN DER
MATHEMATISCH-NATURWISSENSCHAFTLICHEN FAKULTAET II HUMBOLDT-UNIVERSITAET ZU
BERLIN VON DIPL.-MATH. THOMAS KNISPEL GEBOREN AM 28.01.1979 IN GUESTROW
PRAESIDENT DER HUMBOLDT-UNIVERSITAET ZU BERLIN: PROF. DR. CHRISTOPH
MARKSCHIES DEKAN DER MATHEMATISCH-NATURWISSENSCHAFTLICHEN FAKULTAET II:
PROF. DR. PETER FRENSCH GUTACHTER: 1. PROF. DR. HANS FOELLMER 2. PROF.
DR. PETER IMKELLER 3. PROF. DR. WALTER SCHACHERMAYER EINGEREICHT AM: TAG
DER MUENDLICHEN PRUEFUNG: 1.09.2009 8.12.2009 CONTENTS 1 INTRODUCTION 1 2
THE MAXIMIZATION OF ROBUST UTILITY 13 2.1 DUALITY METHODS IN COMPLETE
AND INCOMPLETE MARKET MODELS 13 2.1.1 THE MODEL AND PROBLEM FORMULATION
13 2.1.2 HEURISTIC OUTLINE AND THE MAIN RESULTS 16 2.1.3 EXTENDED
MARTINGALE MEASURES 20 2.1.4 THE DUALITY RESULTS FOR HARA UTILITY 22 2.2
/-DIVERGENCE AND /-PROJECTIONS 23 2.2.1 EXTENDING THE TIME HORIZON 28 3
A CASE STUDY: THE BLACK-SCHOLES MODEL WITH UNCERTAIN DRIFT 31 3.1 THE
FINANCIAL MARKET AND MODEL AMBIGUITY 31 3.2 ROBUST UTILITY MAXIMIZATION:
EXPLICIT COMPUTATIONS 33 3.3 THE LEAST FAVORABLE MEASURE 38 3.4 A ROBUST
OUTPERFORMANCE CRITERION 40 3.5 THE ASYMPTOTIC MINIMIZATION OF ROBUST
DOWNSIDE RISK 49 4 ASYMPTOTICS OF ROBUST UTILITY MAXIMIZATION: A CONTROL
APPROACH 55 4.1 THE MODEL AND PROBLEM FORMULATION 55 4.2 ASYMPTOTICS OF
ROBUST POWER UTILITY WITH * * (0,1) 61 4.2.1 HEURISTIC OUTLINE OF THE
DYNAMIC PROGRAMMING APPROACH 61 4.2.2 VERIFICATION OF THE HEURISTIC
RESULTS 67 4.2.3 EXISTENCE OF A SOLUTION TO THE ERGODIC BELLMAN EQUATION
84 4.3 ASYMPTOTICS OF ROBUST POWER UTILITY WITH * 0 85 4.4 THE
LOGARITHMIC CASE 91 4.4.1 HEURISTIC OUTLINE AND THE ERGODIC BELLMAN
EQUATION 91 4.4.2 VERIFICATION OF THE HEURISTIC RESULTS 94 4.4.3
EXISTENCE OF A SOLUTION TO THE ERGODIC BELLMAN EQUATION 100 4.4.4
STOCHASTIC DIFFERENTIAL GAMES: AN ALTERNATIVE APPROACH TO ROBUST UTILITY
MAX IMIZATION 104 4.5 EXAMPLES AND COMPUTATIONS FOR A FINITE TIME
HORIZON 106 4.5.1 THE BLACK-SCHOLES MODEL WITH UNCERTAIN DRIFT 106 4.5.2
THE GEOMETRIC ORNSTEIN-UHLENBECK MODEL WITH UNCERTAIN RATE OF MEAN
REVERSIONL08 5 THE ASYMPTOTIC MINIMIZATION OF ROBUST DOWNSIDE RISK 125
5.1 PRELIMINARIES 125 5.2 PROOF OF THE MAIN RESULTS 128 5.3 A CASE
STUDY: GEOMETRIC O-U-MODEL WITH UNCERTAIN RATE OF MEAN REVERSION . . . .
139 IV 6 A ROBUST OUTPERFORMANCE CRITERION 141 6.1 PRELIMINARIES 141 6.2
THE MAIN RESULTS 143 6.3 A CASE STUDY: GEOMETRIC O-U-MODEL WITH
UNCERTAIN RATE OF MEAN REVERSION . . . . 150 A SOME USEFUL TOOLS 155 V
|
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| author | Knispel, Thomas 1979- |
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| spelling | Knispel, Thomas 1979- Verfasser (DE-588)140505326 aut Optimal long term investment under model ambiguity von Thomas Knispel Berlin 2009 V, 169 S. txt rdacontent n rdamedia nc rdacarrier Berlin, Humboldt-Univ., Diss., 2009 Wirtschaftsmathematik (DE-588)4066472-7 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Wirtschaftsmathematik (DE-588)4066472-7 s Portfoliomanagement (DE-588)4115601-8 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020191901&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Knispel, Thomas 1979- Optimal long term investment under model ambiguity Wirtschaftsmathematik (DE-588)4066472-7 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4066472-7 (DE-588)4115601-8 (DE-588)4113937-9 |
| title | Optimal long term investment under model ambiguity |
| title_auth | Optimal long term investment under model ambiguity |
| title_exact_search | Optimal long term investment under model ambiguity |
| title_full | Optimal long term investment under model ambiguity von Thomas Knispel |
| title_fullStr | Optimal long term investment under model ambiguity von Thomas Knispel |
| title_full_unstemmed | Optimal long term investment under model ambiguity von Thomas Knispel |
| title_short | Optimal long term investment under model ambiguity |
| title_sort | optimal long term investment under model ambiguity |
| topic | Wirtschaftsmathematik (DE-588)4066472-7 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Wirtschaftsmathematik Portfoliomanagement Hochschulschrift |
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