Thesis
Topics on forward investment theory
- Abstract:
-
In this thesis, we study three topics in optimal portfolio selection that are relevant to the theory of forward investment performance processes.
In Chapter 1, we develop a connection between the classical mean-variance optimisation and time-monotone forward performance processes for infinitesimal trading times. Namely, we consider consecutive mean-variance problems and we show that, for an appropriate choice of the corresponding mean-variance trade-off coefficients, the wealth proces...
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Authors
Contributors
+ Zariphopoulou, T
- Institution:
- University of Oxford
- Division:
- MPLS
- Department:
- Mathematical Institute
- Role:
- Supervisor
+ Lyons, T
- Institution:
- University of Oxford
- Division:
- MPLS
- Department:
- Mathematical Institute
- Role:
- Supervisor
+ Fundacao para a Ciencia e Tecnologia
More from this funder
- Funding agency for:
- Almeida Serra Costa Vitoria, PM
- Grant:
- SFRH / BD / 68331 / 2010
- Publication date:
- 2015
- DOI:
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- University of Oxford
- Language:
-
English
- Keywords:
- Subjects:
- UUID:
-
uuid:158e9239-1385-4314-b337-3eed27c76dfc
- Local pid:
-
ora:12469
- Deposit date:
-
2016-05-19
Terms of use
- Copyright holder:
- Pedro Miguel Almeida Serra Costa Vitoria
- Copyright date:
- 2015
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