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New aspects of optimal investment in continuous time

  • This thesis focuses on dealing with some new aspects of continuous time portfolio optimization by using the stochastic control method. First, we extend the Busch-Korn-Seifried model for a large investor by using the Vasicek model for the short rate, and that problem is solved explicitly for two types of intensity functions. Next, we justify the existence of the constant proportion portfolio insurance (CPPI) strategy in a framework containing a stochastic short rate and a Markov switching parameter. The effect of Vasicek short rate on the CPPI strategy has been studied by Horsky (2012). This part of the thesis extends his research by including a Markov switching parameter, and the generalization is based on the B\"{a}uerle-Rieder investment problem. The explicit solutions are obtained for the portfolio problem without the Money Market Account as well as the portfolio problem with the Money Market Account. Finally, we apply the method used in Busch-Korn-Seifried investment problem to explicitly solve the portfolio optimization with a stochastic benchmark.

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Author:Nhat Thu Tran
URN (permanent link):urn:nbn:de:hbz:386-kluedo-38671
Advisor:Ralf Korn
Document Type:Doctoral Thesis
Language of publication:English
Publication Date:2014/09/09
Year of Publication:2014
Publishing Institute:Technische Universität Kaiserslautern
Granting Institute:Technische Universität Kaiserslautern
Acceptance Date of the Thesis:2014/09/05
Date of the Publication (Server):2014/09/09
Number of page:XII, 117
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
Licence (German):Standard gemäß KLUEDO-Leitlinien vom 10.09.2012