Topics in portfolio management
In this thesis, two topics in portfolio management have been studied: utility-risk portfolio selection and a paradox in time consistency in mean-variance problem. The first topic is a comprehensive study on utility maximization subject to deviation risk constraints. Under the complete Black-Scholes...
| Main Author: | |
|---|---|
| Other Authors: | |
| Published: |
Imperial College London
2016
|
| Subjects: | |
| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.733095 |