Closed form solutions to discrete time portfolio optimization problems
Keywords and Phrases
"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.
Bohner, Martin, 1966-
Mathematics and Statistics
M.S. in Applied Mathematics
Missouri University of Science and Technology
viii, 76 pages
© 2010 Mathias Christian Goeggel, All rights reserved.
Thesis - Open Access
Library of Congress Subject Headings
Discrete-time systems -- Mathematical models
Print OCLC #
Electronic OCLC #
Link to Catalog Record
Goeggel, Mathias Christian, "Closed-form solutions to discrete-time portfolio optimization problems" (2010). Masters Theses. 4769.