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Thesis

Financial optimization problems

Abstract:

The major objective of this thesis is to study optimization problems in finance. Most of the effort is directed towards studying the impact of transaction costs in those problems. In addition, we study dynamic meanvariance asset allocation problems. Stochastic HJB equations, Pontryagin Maximum Principle and perturbation analysis are the major mathematical techniques used. In Chapter 1, we introduce the background literature. Following that, we use the Pontryagin Maximum Principle to tackle t...

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Publication date:
2005
URN:
uuid:3c54b7d3-bffc-407b-87d6-d786732c62c3
Local pid:
oai:eprints.maths.ox.ac.uk:240

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