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Topics in portfolio choice: qualitative properties, time consistency and investment under model uncertainty

Abstract:

The study of expected utility maximization in continuous-time stochastic market models dates back to the seminal work of Merton 1969 and has since been central to the area of Mathematical Finance. The associated stochastic optimization problems have been extensively studied. The problem formulation relies on two strong underlying assumptions: the ability to specify the underpinning market model and the knowledge of the investor's risk preferences. However, neither of these inputs is easily...

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Research group:
Mathematical and Computational Finance
Oxford college:
Lady Margaret Hall
Role:
Author

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Role:
Supervisor
Role:
Supervisor
Publication date:
2014
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
Language:
English
Keywords:
Subjects:
UUID:
uuid:3593bc59-594e-4feb-a20a-c18b75c9b8bc
Local pid:
ora:8956
Deposit date:
2014-09-16

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