publication . Thesis . Other literature type . 2017

No title available

Shi, Wyanet Wen;
  • Published: 02 Mar 2017
This thesis studies the design of optimal investment strategies. A strategy is considered optimal when it minimizes the variance of terminal portfolio wealth for a given level of expected terminal portfolio wealth, or equivalently, maximizes an investor's utility. We study this issue in two particular situations: when asset returns follow a continuous-time path-independent process, and when they follow a discrete-time path-dependent process. Continuous-time path-independent return models are popular but controversial in the literature. We formulate the criteria for portfolio rules to be considered as optimal in this framework. We construct a portfolio consisting...
free text keywords: Uncategorized, monash:168112, return models, thesis(doctorate), ethesis-20160315-215346, dynamic asset allocation, open access, 1959.1/1251093, maximum likelihood, 2016, mgarch
Download fromView all 3 versions
Other literature type . 2017
Provider: Datacite
Thesis . 2017
Provider: FigShare
Powered by OpenAIRE Research Graph
Any information missing or wrong?Report an Issue