Topics in portfolio optimisation and systemic risk
This thesis is concerned with different sources of risk occurring in financial markets. We follow a bottom-up approach by carrying out an analysis from the perspective of a single investor to the whole banking system. We first consider an investor who faces parameter uncertainty in a continuous-time...
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London School of Economics and Political Science (University of London)
2015
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.677637 |