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Showing 1 to 4 of 4 for “"Markov Chain Approximation"”.
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Exponentially Weighted Moving Average Charts for Monitoring the Process Generalized Variance
… the integral equation method, and the Markov chain approximation are discussed. The integral equation and Markov chain approaches are analytical methods that require a nu- merical method for determining the probability density and cumulative distribution functions describing the …
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Numerical methods for problems arising in risk management and insurance
… and insurance. We consider the models with Markov regime-switching process. The regime-switching model contains both continuous and discrete components in their evolution and is referred to as a hybrid system. The discrete events are used to model the random factors that cannot formulated by …
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Optimal deleveraging and liquidation of financial portfolios with market impact
… as a stochastic control program and propose a Markov chain approximation scheme to numerically obtain the optimal trading trajectory. We also analyze theoretically how asset characteristics and market conditions affect the optimal deleveraging and execution strategies, which provides guidance …
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Delegated Portfolio Management - Optimal Portfolio Policies under Compensation, Capital Flow and Price Influence
This work investigates the intertemporal portfolio optimization of professional portfolio managers. It analyzes whether the special conditions of delegation in which portfolio managers make investment decisions - compensation depending on assets under management, capital flow depending on past …