A Comparison Between Goal Reaching and Yaari's Models

A Comparison Between Goal Reaching and Yaari's Models

In this project we build on the work done by He and Zhou in their paper Portfolio Choice via Quantiles[3]. We first explain in brief their portfolio choice model for the complete markets and the solution to the Goal Reaching problem and Yaari's model. We study the effect of Sharpe ratio on the...

Полное описание

Библиографические подробности
Главный автор:	Gandhi, C
Формат:	Диссертация
Опубликовано:	Mathematical Institute;University of Oxford 2009

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