Obradovic, Lazar: Essays on Optimal Stopping and Stochastic Control in Finance. 2018
Inhalt
- General Introduction
- Uncertainty as a Single Probability Measure
- Stochastic Control and Optimal Stopping in Mathematical Finance
- Maxmin Expected Utility Theory
- Risk Measures
- Thesis Outline and Contributions
- Robust Maximum Detection: Full Information Best Choice Problem under Multiple Priors
- Introduction
- The Original FIBC Problem
- FIBC Problem under Multiple Priors
- Examples
- Conclusion
- Appendix Applicability of the Theory of Optimal Stopping under Multiple Priors
- Appendix Details on Extremal measures
- Appendix Equivalence of Problems 3 and 4
- Appendix Proof of Theorem 2.3.1
- Appendix Proof of Lemma 2.4.1
- Locally Constant Model Uncertainty Risk Measure
- Introduction
- Representation of the LCAN Risk Measure
- Definition
- Connection with Avarege Value-at-Risk
- Maximizing Measure
- Comparison with Average Value at Risk
- Optimal Portfolio Analysis
- Model
- Loss and Risk Measures
- Optimization Problems and Merton portfolio
- Sensitivity of Optimal Portfolios to the Choice of Risk Measures
- Conclusion
- Appendix Risk Measures
- Appendix Corollary of the Generalized Version of Neyman-Pearson Lemma
- Appendix Proofs of theorems 3.2.1 and 3.2.2
- Appendix Calculations for AVaR and LCMU for a Log-Normally Distributed Position
- Appendix Details on Optimal Portfolios
- A Note on the Perpetual American Straddle