Now showing items 1-9 of 9

    • Applications of Stochastic Control to Portfolio Selection Problems 

      Lin, Hongcan (University of Waterloo, 2018-10-16)
      Portfolio selection is an important problem both in academia and in practice. Due to its significance, it has received great attention and facilitated a large amount of research. This thesis is devoted to structuring optimal ...
    • Asymptotic Distribution of the Optimal Value in Random Linear Programs: Application to Maximum Expected Shortfall 

      Hall, Jesse (University of Waterloo, 2020-10-08)
      The properties of risk measures are of fundamental concern in quantitative finance, particularly in times of uncertainty. We study the behaviour of the asymptotic distribution of the maximum expected shortfall of a portfolio ...
    • Computational Methods in Finance Related to Distributions with Known Marginals 

      Memartoluie, Amir (University of Waterloo, 2017-05-30)
      Model uncertainty and the dependence structures of various risk factors are important components of measuring and managing financial risk, such as market, credit and operational risks. In this thesis we provide a systematic ...
    • Conditional Scenario Generation with a GVAR Model 

      Wang, Xinghao (University of Waterloo, 2016-12-15)
      The stress-testing method formed an integral part of the practice of risk management. However, the underlying models for scenarios generation have not been much studied so far. In past practice, the users typically did ...
    • Optimal Retirement Planning: Scenario Generation, Preferences, and Objectives 

      Zhang, Saisai (University of Waterloo, 2018-09-20)
      The global trend of shifting from defined benefit (DB) to defined contribution (DC) workplace pension plans is putting growing pressure on individuals to take more ownership in retirement planning and financial decision-making. ...
    • Risk Allocation in Hybrid Pension Plans 

      ZHU, XIAOBAI (University of Waterloo, 2019-09-18)
      Three different hybrid designs are considered in this thesis. Chapter 1 studies the risk management of Cash Balance (CB) pension plans, which are the most popular hybrid plans in the U.S. We show that the simple delta and ...
    • Risk Measurement under Dependence Structure Ambiguity 

      Chen, Harris (University of Waterloo, 2022-01-27)
      In this thesis, we work on a generalization of the entropy regularized optimal transport problem, with the objective function being (spectral) risk measures. We accomplish three goals: to present the corresponding dual ...
    • Several Mathematical Problems in Investment Management 

      Jiang, Ruihong (University of Waterloo, 2023-08-21)
      This thesis studies four mathematical problems in investment management. All four problems arise from practical challenges and are data-driven. Chapter 2 investigates the Kelly portfolio strategy. The full Kelly strategy's ...
    • Valuation and Risk Management of Hedge Fund Investments under Alternative Fee Structures 

      Meng, Fei (University of Waterloo, 2020-09-21)
      Hedge funds have specialized fee structures, often including performance fees designed to align the incentives of investors and fund managers. However, hedge funds have faced intense scrutiny since the financial crisis, ...


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