Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 4 of 4 for “"Optimal portfolio selection"”.
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Accurate portfolio risk-return structure modelling
Markowitz's modem portfolio theory has played a vital role in investment portfolio management, which is constantly pushing the development on volatility models. Particularly, the stochastic volatility model which reveals the dynamics of conditional volatility. Financial time series and volatility …
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Semiparametric Characteristics-based Models of Asset Returns
… and their implications on assets prices and portfolio management. This thesis selects characteristics that have prediction powers on assets excess returns and specifies a flexible regression model, including linear, non-linear and pairwise interactive parts. This thesis further analyses …
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Some optimal control problems in financial and actuarial mathematics
… variable annuities, pension management, and the optimal insurance strategies for policyholders of a mutual insurance company (MIC). In the last chapter, we present an optimal stopping problem which concerns with finding the optimal time to sell or purchase a risky asset in the financial market. …
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Selección óptima de portafolio para una compañía aseguradora
En este documento se estudia el problema en tiempo continuo de selección óptima de portafolio para una compañía aseguradora que respalda las reclamaciones con los beneficios de las venta de contratos de seguros y los ingresos resultantes de invertir en el mercado financiero. Usando el método de …