Terminal wealth problems in illiquid markets under a drawdown constraint
FacultiesFakultät für Mathematik und Wirtschaftswissenschaften
LicenseStandard (Fassung vom 01.10.2008)
The aim of this thesis is to study terminal wealth problems in illiquid markets. Thereby the illiquidity is modeled by means of discrete exogenous random times, at which trading is possible. Additionally, a drawdown constraint, which prevents the investor from large losses, is introduced. This investment problem is solved using a related Markov Decision Process. Moreover, an algorithm to approximate the value function as well as an optimal policy is given.
Subject HeadingsLiquiditätsrisiko [GND]
Decision making. Mathematical models [LCSH]