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AuthorWittlinger, Marcdc.contributor.author
Date of accession2016-03-15T06:23:12Zdc.date.accessioned
Available in OPARU since2016-03-15T06:23:12Zdc.date.available
Year of creation2011dc.date.created
AbstractThe 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.dc.description.abstract
Languageendc.language.iso
PublisherUniversität Ulmdc.publisher
LicenseStandard (Fassung vom 01.10.2008)dc.rights
Link to license texthttps://oparu.uni-ulm.de/xmlui/license_v2dc.rights.uri
KeywordDrawdown constraintdc.subject
KeywordHoward’s policy improvement algorithmdc.subject
KeywordIlliquid marketdc.subject
KeywordInhomogeneous Lévy processdc.subject
KeywordInhomogeneous Poisson processdc.subject
KeywordLimsup Markov decision processdc.subject
KeywordLimsup MDPdc.subject
KeywordLiquidity riskdc.subject
KeywordMarkov decision processdc.subject
KeywordMDPdc.subject
KeywordPortfolio optimizationdc.subject
KeywordStructure theoremdc.subject
KeywordTerminal wealth problemdc.subject
Dewey Decimal GroupDDC 510 / Mathematicsdc.subject.ddc
LCSHDecision making. Mathematical modelsdc.subject.lcsh
TitleTerminal wealth problems in illiquid markets under a drawdown constraintdc.title
Resource typeDissertationdc.type
DOIhttp://dx.doi.org/10.18725/OPARU-1806dc.identifier.doi
PPN685125394dc.identifier.ppn
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-vts-78215dc.identifier.urn
GNDLiquiditätsrisikodc.subject.gnd
GNDMarkov-Entscheidungsprozessdc.subject.gnd
FacultyFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
Date of activation2012-01-09T10:59:36Zuulm.freischaltungVTS
Peer reviewneinuulm.peerReview
Shelfmark print versionZ: J-H 14.317; N: J-H 14.613uulm.shelfmark
DCMI TypeTextuulm.typeDCMI
VTS-ID7821uulm.vtsID
CategoryPublikationenuulm.category
University Bibliographyjauulm.unibibliographie


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