Browsing Theses by Subject "portfolio selection"
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Essays on Portfolio Selection, Continuous-time Analysis, and Market Incompleteness
(University of Waterloo, 2023-04-05)This thesis consists of three self-contained essays evaluating topics in portfolio selection, continuous-time analysis, and market incompleteness. The two opposing investment strategies, diversification and concentration, ... -
General Quadratic Risk Minimization: a Variational Approach
(University of Waterloo, 2016-07-05)Mean-variance portfolio selection and mean-variance hedging are mainstream research topics in mathematical nance, which can be subsumed within the framework of a general problem of quadratic risk minimization. We study ...