Topics on forward investment theory

<p>In this thesis, we study three topics in optimal portfolio selection that are relevant to the theory of forward investment performance processes. <p>In Chapter 1, we develop a connection between the classical mean-variance optimisation and time-monotone forward performance processes...

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Bibliographic Details
Main Author: Almeida Serra Costa Vitoria, P
Other Authors: Zariphopoulou, T
Format: Thesis
Language:English
Published: 2015
Subjects: