Essays about: "state dependent risk aversion"

Found 2 essays containing the words state dependent risk aversion.

1. 1. Outlier-Robust Dynamic Portfolio Optimization based on Bear-Bull-Regimes

   University essay from Lunds universitet/Matematisk statistik

   Author : Emil Eliasson; Linus Hamlin; [2018]
   Keywords : Mathematics and Statistics;

   Abstract : The work in this thesis is meant to improve an existing algorithm described in Nystrup (2017). As the original model uses a normal distribution to approximate the daily logarithmic returns, the authors of this thesis aim to improve the approximation by using Student’s t-distribution which may be a better approximation of financial data. READ MORE

3. 2. Equilibrium Strategies for Time-Inconsistent Stochastic Optimal Control of Asset Allocation

   University essay from KTH/Optimeringslära och systemteori

   Author : Johan Dimitry El Baghdady; [2017]
   Keywords : Stochastic optimal control; dynamic programming; asset allocation; non-cooperative games; subgame perfect Nash equilibrium; time-inconsistency; dynamic portfolio optimization; mean-variance; state dependent risk aversion; extended Hamilton-Jacobi-Bellman; execution algorithms.; Stokastisk optimal styrning; dynamisk programmering; tillgångsallokering; icke-kooperativa spel; Nashjämvikt; tidsinkonsistens; dynamisk portföljoptimering; avvägning mellan förväntad avkastning och varians; tillståndsberoende riskhantering; utökad Hamilton-Jacobi-;

   Abstract : We have examinined the problem of constructing efficient strategies for continuous-time dynamic asset allocation. In order to obtain efficient investment strategies; a stochastic optimal control approach was applied to find optimal transaction control. READ MORE