| dc.date.accessioned | 2013-03-12T08:22:55Z | |
| dc.date.issued | 2010 | en_US |
| dc.date.submitted | 2010-05-28 | en_US |
| dc.identifier.citation | Artykov, Farhod. Portfolio Optimization under a Value at Risk constraint with consideration of Partial Information and Jump Diffusion Markets. Masteroppgave, University of Oslo, 2010 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10777 | |
| dc.description.abstract | Abstract
The purpose of the following thesis is to study the effects of applying a Value-at-Risk constraint on the classic portfolio optimization problem. The Value at Risk constraint is thoroughly studied and a useful restatement is obtained. The different methods of solving an unconstrained optimization problem are discussed and extended to solve the problem with a VaR constraint. The discussion is then extended to consider the role of information in portfolio optimization problems by solving the problem under partial information. It is shown that the optimal constrained portfolio is a “modification” of the optimal unconstrained portfolio. The results are then further extended to apply in a jump diffusion market. It is shown that the VaR constraint can be evaluated in such markets as well, making it possible to solve the portfolio optimization problem with a VaR constraint in a jump diffusion market. | eng |
| dc.language.iso | eng | en_US |
| dc.title | Portfolio Optimization under a Value at Risk constraint with consideration of Partial Information and Jump Diffusion Markets | en_US |
| dc.type | Master thesis | en_US |
| dc.date.updated | 2012-03-11 | en_US |
| dc.creator.author | Artykov, Farhod | en_US |
| dc.date.embargoenddate | 10000-01-01 | |
| dc.rights.terms | Dette dokumentet er ikke elektronisk tilgjengelig etter ønske fra forfatter. Tilgangskode/Access code A | en_US |
| dc.rights.terms | forever | en_US |
| dc.subject.nsi | VDP::412 | en_US |
| dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft.au=Artykov, Farhod&rft.title=Portfolio Optimization under a Value at Risk constraint with consideration of Partial Information and Jump Diffusion Markets&rft.inst=University of Oslo&rft.date=2010&rft.degree=Masteroppgave | en_US |
| dc.identifier.urn | URN:NBN:no-25635 | en_US |
| dc.type.document | Masteroppgave | en_US |
| dc.identifier.duo | 103068 | en_US |
| dc.contributor.supervisor | Giulia Di Nunno | en_US |
| dc.identifier.bibsys | 101304323 | en_US |
| dc.rights.accessrights | closedaccess | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10777/1/Farhod-Thesis.pdf | |