Diss. Wirtschaftswiss. St. Gallen, 1995 ; Nr. 1670. / Literaturverz.

Zugl.: Münster, Universiẗat, Diss., 1996.

Zugl.: Mannheim, Universiẗat, Diss., 2001.

Thesis (doctoral)--Hochschule St. Gallen für Wirtschafts-, Rechts- und Sozialwissenschaften, 2007.

In this thesis, we are interested in the stochastic differential equation with jumps under regime switching. Firstly, we investigate a continuous-time version of the mean-variance portfolio selection model with jumps under regime switching. The portfolio selection proposed and analyzed for a market consisting of one bank account an d multiple stocks. The random regime switching is assumed to be independent of the underlying Brownian motion and jump processes. Secondly, we consider the problem of pricing contigent claims on a stock whose price process is modeled by a Levy process. Since the market is incomplete and there is not a unique equivalent martingale measure. We study approaches to pricing options. Finally, we investigate a continuous-time version Markowitz's mean-variance portfolio selection problem which is studied in a market with one bank account, one stock and proportional transaction costs. This is a singular stochastic control problem. Via a series of transformations, the problem is turned into a double obstacle problem.

Safety first criterion and mean-shortfall criterion both explore cases of assets allocation with downside risk. In this paper, I compare safety first portfolio selection problem and mean-shortfall portfolio optimization problem, considering risk averse investors in practice. Safety first portfolio selection uses Value at Risk (VaR) as a risk measure, and mean-shortfall portfolio optimization uses expected shortfall as a risk measure, respectively. VaR is estimated by implementing extreme theory using a semi-parametric method. Expected shortfall is estimated by two nonparametric methods: a natural estimation and a kernel-weighted estimation. I use daily data on three international stock indices, ranging from January 1986 to February 2012, to provide empirical evidence in asset allocations and illustrate the performances of safety first and mean-shortfall with their risk measures. Also, the historical data has been divided in two ways. One is truncated at year 1998 and explored the performance during tech boom and financial crisis. the mean-shortfall portfolio optimization with the kernel-weighted method performed better than the safety first criterion, while the safety first criterion was better than the mean-shortfall portfolio optimization with the natural estimation method.

Zugl.: Hagen, FernUniversity, Diss., 2006.

Zugl.: Darmstadt, Techn. Univ., Diss., 2005.

Universiẗat, Diss., 1999--St. Gallen.

Zugl.: Ilmenau, Techn. Hochsch., Diss., 2008.