KLUEDO RSS FeedKLUEDO Dokumente/documents
https://kluedo.ub.uni-kl.de/index/index/
Thu, 03 Mar 2016 11:45:00 +0100Thu, 03 Mar 2016 11:45:00 +0100Linear diffusions conditioned on long-term survival
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4311
We investigate the long-term behaviour of diffusions on the non-negative real numbers under killing at some random time. Killing can occur at zero as well as in the interior of the state space. The diffusion follows a stochastic differential equation driven by a Brownian motion. The diffusions we are working with will almost surely be killed. In large parts of this thesis we only assume the drift coefficient to be continuous. Further, we suppose that zero is regular and that infinity is natural. We condition the diffusion on survival up to time t and let t tend to infinity looking for a limiting behaviour. Martin Andersdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4311Thu, 03 Mar 2016 11:45:00 +0100Advantage of Filtering for Portfolio Optimization in Financial Markets with Partial Information
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4282
In a financial market we consider three types of investors trading with a finite
time horizon with access to a bank account as well as multliple stocks: the
fully informed investor, the partially informed investor whose only source of
information are the stock prices and an investor who does not use this infor-
mation. The drift is modeled either as following linear Gaussian dynamics
or as being a continuous time Markov chain with finite state space. The
optimization problem is to maximize expected utility of terminal wealth.
The case of partial information is based on the use of filtering techniques.
Conditions to ensure boundedness of the expected value of the filters are
developed, in the Markov case also for positivity. For the Markov modulated
drift, boundedness of the expected value of the filter relates strongly to port-
folio optimization: effects are studied and quantified. The derivation of an
equivalent, less dimensional market is presented next. It is a type of Mutual
Fund Theorem that is shown here.
Gains and losses eminating from the use of filtering are then discussed in
detail for different market parameters: For infrequent trading we find that
both filters need to comply with the boundedness conditions to be an advan-
tage for the investor. Losses are minimal in case the filters are advantageous.
At an increasing number of stocks, again boundedness conditions need to be
met. Losses in this case depend strongly on the added stocks. The relation
of boundedness and portfolio optimization in the Markov model leads here to
increasing losses for the investor if the boundedness condition is to hold for
all numbers of stocks. In the Markov case, the losses for different numbers
of states are negligible in case more states are assumed then were originally
present. Assuming less states leads to high losses. Again for the Markov
model, a simplification of the complex optimal trading strategy for power
utility in the partial information setting is shown to cause only minor losses.
If the market parameters are such that shortselling and borrowing constraints
are in effect, these constraints may lead to big losses depending on how much
effect the constraints have. They can though also be an advantage for the
investor in case the expected value of the filters does not meet the conditions
for boundedness.
All results are implemented and illustrated with the corresponding numerical
findings.Leonie Rudererdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4282Fri, 15 Jan 2016 09:45:44 +0100Portfoliooptimierung im Binomialmodell
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3849
Die Dissertation "Portfoliooptimierung im Binomialmodell" befasst sich mit der Frage, inwieweit
das Problem der optimalen Portfolioauswahl im Binomialmodell lösbar ist bzw. inwieweit
die Ergebnisse auf das stetige Modell übertragbar sind. Dabei werden neben dem
klassischen Modell ohne Kosten und ohne Veränderung der Marktsituation auch Modellerweiterungen
untersucht.Henriette Krönerdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3849Thu, 14 Aug 2014 08:15:18 +0200