Author: | Olaf Arnd Menkens |
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URN (permanent link): | urn:nbn:de:hbz:386-kluedo-18010 |
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Advisor: | Ralf Korn |
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Document Type: | Doctoral Thesis |
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Language of publication: | English |
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Year of Completion: | 2004 |
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Year of Publication: | 2004 |
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Publishing Institute: | Technische Universität Kaiserslautern |
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Granting Institute: | Technische Universität Kaiserslautern |
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Acceptance Date of the Thesis: | 2004/11/30 |
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Date of the Publication (Server): | 2005/01/21 |
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Tag: | *Betrachtung des Schlimmstmöglichen Falles; Crash Hedging; Gleichgewichtsstrategien; Portfolio Optimierung* changing market coefficients; crash hedging; equilibrium strategies; portfolio optimization; worst-case scenario |
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GND-Keyword: | *Hamilton-Jacobi-Differentialgleichung ; Portfolio Selection; Stochastische dynamische Optimierung * |
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Faculties / Organisational entities: | Fachbereich Mathematik |
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DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
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MSC-Classification (mathematics): | 49-XX CALCULUS OF VARIATIONS AND OPTIMAL CONTROL; OPTIMIZATION [See also 34H05, 34K35, 65Kxx, 90Cxx, 93-XX] / 49Jxx Existence theories / 49J15 Optimal control problems involving ordinary differential equations |
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| 49-XX CALCULUS OF VARIATIONS AND OPTIMAL CONTROL; OPTIMIZATION [See also 34H05, 34K35, 65Kxx, 90Cxx, 93-XX] / 49Jxx Existence theories / 49J20 Optimal control problems involving partial differential equations |
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| 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H15 Stochastic partial differential equations [See also 35R60] |
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| 91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Bxx Mathematical economics (For econometrics, see 62P20) / 91B70 Stochastic models |
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Licence (German): | Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |
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