Portfolio Management with Multiple Benchmarks
| Thesis title in Czech: | Management portfolia s několika referenčními aktivy |
|---|---|
| Thesis title in English: | Portfolio Management with Multiple Benchmarks |
| Key words: | management portfolia, optimální kontrola, oceňování, opce, numeraire |
| English key words: | portfolio management, optimal control, pricing, options, numeraire |
| Academic year of topic announcement: | 2015/2016 |
| Thesis type: | diploma thesis |
| Thesis language: | angličtina |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | doc. RNDr. Jan Večeř, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 06.10.2015 |
| Date of assignment: | 04.11.2015 |
| Confirmed by Study dept. on: | 02.03.2016 |
| Date and time of defence: | 14.06.2017 00:00 |
| Date of electronic submission: | 09.05.2017 |
| Date of submission of printed version: | 12.05.2017 |
| Date of proceeded defence: | 14.06.2017 |
| Opponents: | doc. RNDr. Michal Pešta, Ph.D. |
| Guidelines |
| Traditional portfolio optimization typically compares the porftolio performance with one benchmark such as the stock market. However, during the market drop, the portfolio may still perfomr favorably well with respect to the market linked benchmark, but the portfolio performance may be unacceptable when measured in monetary terms. Using the techniques of stochastic optimal control, one can characterize trading strategies that are optimal with respect to multiple benchmarks.
This thesis requires to understand and apply modern methods of stochastic calculus, options pricing and stochastic control. |
| References |
| Vecer (2011): Stochastic Finance, A Numeraire Approach, CRC Press.
Shreve, Vecer (2000): Options on a Traded Account: Vacation Calls, Vacation Puts and Passport Options, Finance and Stochastics 4(3), 255-274. Merton (1969): Lifetime Portfolio Selection Under Uncertainty: The Continuous Time Case, The Review of Economics and Statistics, 51(3), 247-257. Kulldorff (1993): Optimal Control of Favorable Games with a Time Limit. SIAM Journal of Control and Optimization, 31(1), 52-69. |