Masters Theses

Alternative Title

Closed form solutions to discrete time portfolio optimization problems

Keywords and Phrases

Financial mathematics

Abstract

"In this work, we study some discrete time portfolio optimization problems. After a brief introduction of the corresponding continuous time models, we introduce the discrete time financial market model. The change in asset prices is modeled in contrast to the continuous time market by stochastic difference equations. We provide solutions for these stochastic difference equations. Then we introduce the discrete time risk-measure and the portfolio optimization problems. We provide closed form solutions to the discrete time problems. The main contribution of this thesis are the closed form solutions to the discrete time portfolio models. For simulation purposes the discrete time financial market is better. Examples illustrating our theoretical results are provided"--Abstract, page iii.

Advisor(s)

Bohner, Martin, 1966-

Committee Member(s)

Qin, Ruwen
Akin, Elvan

Department(s)

Mathematics and Statistics

Degree Name

M.S. in Applied Mathematics

Publisher

Missouri University of Science and Technology

Publication Date

Summer 2010

Pagination

viii, 76 pages

Note about bibliography

Includes bibliographical references (pages 51-52) and index (pages 53-54).

Rights

© 2010 Mathias Christian Goeggel, All rights reserved.

Document Type

Thesis - Open Access

File Type

text

Language

English

Library of Congress Subject Headings

Business mathematics
Discrete-time systems -- Mathematical models
Investment analysis
Portfolio management

Thesis Number

T 9669

Print OCLC #

688640478

Electronic OCLC #

638952549

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