Masters Theses
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
Subject Headings
Business mathematics
Discrete-time systems -- Mathematical models
Investment analysis
Portfolio management
Thesis Number
T 9669
Print OCLC #
688640478
Electronic OCLC #
638952549
Link to Catalog Record
Recommended Citation
Goeggel, Mathias Christian, "Closed-form solutions to discrete-time portfolio optimization problems" (2010). Masters Theses. 4769.
https://scholarsmine.mst.edu/masters_theses/4769