Optimal Portfolios in Wishart Models and Effects of Discrete Rebalancing on Portfolio Distribution and Strategy Selection

Doctoral thesis English OPEN
Li, Zejing (2012)
  • Publisher: KIT, Karlsruhe
  • Subject: Mathematics
    • ddc: ddc:510

This dissertation is mainly devoted to the research of two problems - the continuous-time portfolio optimization in different Wishart models and the effects of discrete rebalancing on portfolio wealth distribution and optimal portfolio strategy.
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