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1 
Das Depotgeschäft im spanischen Recht /Höhne, HansHellmut. January 1976 (has links)
Thesis (doctoral)Universität Mainz.

2 
Die rechtliche Natur des regulären und irregulaären Bankverwahrungsdepots /Ecker, Hugo. January 1904 (has links)
Thesis (doctoral)Universität Greifswald.

3 
Are U.S. household portfolios efficient?Lai, Whueiwen. January 2003 (has links)
Thesis (Ph. D.)Ohio State University, 2003. / Title from first page of PDF file. Document formatted into pages; contains xii, 145 p.: ill. Includes abstract and vita. Advisor: Sherman D. Hanna, Dept. of Human Ecology. Includes bibliographical references (p. 139145).

4 
A practical approach to portfolio management /So, Yukming, Theresa. January 1985 (has links)
Thesis (M.B.A.)University of Hong Kong, 1985.

5 
Mean variance portfolio management : time consistent approachWong, Kwokchuen, 黃國全 January 2013 (has links)
In this thesis, two problems of time consistent meanvariance portfolio selection have been studied: meanvariance assetliability management with regime switchings and meanvariance optimization with statedependent risk aversion under shortselling prohibition.
Due to the nonlinear expectation term in the meanvariance utility, the usual Tower Property fails to hold, and the corresponding optimal portfolio selection problem becomes timeinconsistent in the sense that it does not admit the Bellman Optimality Principle. Because of this, in this thesis, timeconsistent equilibrium solution of two meanvariance optimization problems is established via a game theoretic approach.
In the first part of this thesis, the time consistent solution of the meanvariance assetliability management is sought for. By using the extended HamiltonJacobi Bellman equation for equilibrium solution, equilibrium feedback control of this MVALM and the corresponding equilibrium value function can be obtained. The equilibrium control is found to be affine in liability. Hence, the time consistent equilibrium control of this problem is state dependent in the sense that it depends on the uncontrollable liability process, which is in substantial contrast with the time consistent solution of the simple classical meanvariance problem in Björk and Murgoci (2010), in which it was independent of the state.
In the second part of this thesis, the time consistent equilibrium strategies for the meanvariance portfolio selection with state dependent risk aversion under shortselling prohibition is studied in both a discrete and a continuous time set tings. The motivation that urges us to study this problem is the recent work in Björk et al. (2012) that considered the meanvariance problem with state dependent risk aversion in the sense that the risk aversion is inversely proportional to the current wealth. There is no shortselling restriction in their problem and the corresponding time consistent control was shown to be linear in wealth. However, we discovered that the counterpart of their continuous time equilibrium control in the discrete time framework behaves unsatisfactory, in the sense that the corresponding “optimal” wealth process can take negative values. This negativity in wealth will change the investor into a risk seeker which results in an unbounded value function that is economically unsound. Therefore, the discretized version of the problem in Bjork et al. (2012) might yield solutions with bankruptcy possibility. Furthermore, such “bankruptcy” solution can converge to the solution in continuous counterpart as Björk et al. (2012). This means that the negative risk aversion drawback could appear in implementing the solution in Björk et al. (2012) discretely in practice. This drawback urges us to prohibit shortselling in order to eliminate the chance of getting nonpositive wealth. Using backward induction, the equilibrium control in discrete time setting is explicit solvable and is shown to be linear in wealth. An application of the extended HamiltonJacobiBellman equation leads us to conclude that the continuous time equilibrium control is also linear in wealth. Also, the investment to wealth ratio would satisfy an integral equation which is uniquely solvable. The discrete time equilibrium controls are shown to converge to that in continuous time setting. / published_or_final_version / Mathematics / Master / Master of Philosophy

6 
Some aspects of portfolio management in a financial institutionDraper, Paul Richard January 1974 (has links)
This study attempts to set out in detail some of the factors and influeuces affecting portfolio decisions. In particular it attempts to outline the factors affecting portfolio selection decisions in an investment management organisation. Influences on share selection such as the need for diversification in portfolios, the desire to buy marketable stocks and the use of sector selection  a technique for selecting shares by their industry characteristics  as well as a variety of institutional factors are discussed at some length. Specific factors involved in investment analysis, such as intrinsic value analysis, and methods of portfolio evaluations are also considered. With this basis it is then possible to investigate more fully the value and usefulness of one of the managers decision rules. The technique investigated  sector selection  was on the one hand, felt by the investment managers to be a central and important part of their portfolio construction techniques contributing significantly to the performance of their portfolios, whilst on the other hand it was believed by the author, on the basis of preliminary observations, to be of rather less consequence. To resolve this conflict a multistage analysis (discussed below) was devised to provide empirical evidence as to the theoretical validity and practical usefulness of the technique.

7 
Reputation, opportunism and crowd behaviour in debt marketsMorrison, Alan D. January 2000 (has links)
No description available.

8 
Optimal trading strategies and risk in the government bond market : two essays in financial economicsKoster, Hendrik Aaldrik Jan January 1987 (has links)
The two main questions arising from the problem of optimal bond portfolio management concern the formulation of an optimal trading rule and the specification of an appropriate dynamic risk measure in which to express portfolio objectives. We study these questions in two related essays: (l) a theoretical study of optimal trading policies in view of, as yet unspecified, portfolio objectives when trading is costly; and (2) an empirical, comparative study of several bond risk measures, proposed
in the literature or in use by practitioners, for the government or defaultfree bond market.
The theoretical study considers a delegated portfolio management setting, in which the manager optimizes a cumulative reward over a finite time period and where the reward rate increases with portfolio value and decreases with deviations from the given risk objectives. Trading is then often not worthwhile, as the possible gains from smaller objective deviations are offset by losses on account of transactions costs. This setting obviates the need for separate ex post performance evaluation.
The trading problem is formulated as one of optimal impulse control in the framework of stochastic dynamic programming; this formulation improves upon prior results in the literature using continuous control theory. A myopic optimal trading rule is characterized, which is also applicable to timehomogeneous problems and more general preferences. An algorithm for its use in applications is derived.
The empirical study applies the usual methods of stock market tests to the returns of constant risk bond portfolios. These portfolios are artificial constructs composed, at varying risk levels, of traded bonds on the basis of six different one or two dimensional risk measures. These risk measures are selected in order to obtain a crosssection of term structure variabilities; they include duration, short interest rate risk, long (13year) interest rate risk, combined short and consol rate risks, duration combined with convexity, and average timetomaturity. The sample period is the 1970s decade, for which parameter estimates for the risk measures— where necessary—are available from source papers. This period is known to be one with wideranging term structure movements and is therefore ideally suited for the tests of this paper. Portfolios are formed at two levels of diversification: bullet and ladder selection.
We confirm that all of these risk measures are reasonably effective in capturing relevant bond market risk: the state space of bond returns has in all cases a low dimension (two or three), with only a single factor significantly priced. Best fit is found for portfolios selected by duration, the 13year spot yield risk, and the twodimensional short/consol rate risk, all of which consist predominantly of "long" rate risk.
The short ratebased risk measure does not explain portfolio returns as well: it has difficulty discriminating between portfolios with long remaining timestomaturity. Convexity, furthermore, adds nothing to the explanatory power of duration.
Average timetomaturity compares reasonably well with the above risk measures, provided the portfolios are welldiversified across the maturity spectrum; this lends some support to the use of yield curves.
A strong diversification effect has also been found, to the extent that the returns
on ladder portfolios are practically linear combinations of two or three of the portfolios, typically the lowest and highest risk portfolios in the one dimensional risk cases, with an intermediate portfolio added in the twodimensional cases. Provided that diversified portfolios are used, the comparatively easy to implement duration measure is as good as any of the risk measures tested. / Business, Sauder School of / Finance, Division of / Graduate

9 
A multiperiod portfolio selection problem.January 2009 (has links)
Hou, Wenting. / Thesis (M.Phil.)Chinese University of Hong Kong, 2009. / Includes bibliographical references (p. 113117). / Abstract also in Chinese. / Abstract  p.i / Acknowledgement  p.iii / Chapter 1  Introduction  p.1 / Chapter 1.1  Literature Review  p.1 / Chapter 1.2  Problem Description  p.8 / Chapter 1.3  The Main Contributions of This Thesis  p.11 / Chapter 2  Model I  p.13 / Chapter 2.1  Notation  p.13 / Chapter 2.2  Model Formulation  p.16 / Chapter 2.3  Analytical Solution  p.19 / Chapter 3  Model II  p.25 / Chapter 3.1  Model Formulation  p.25 / Chapter 3.2  Analytical Solution  p.30 / Chapter 3.3  How to Find y  p.38 / Chapter 3.4  Numerical Example  p.42 / Chapter 4  Model III  p.47 / Chapter 4.1  Model Formulation  p.48 / Chapter 4.2  Dynamic Programming  p.50 / Chapter 4.2.1  DP I  p.50 / Chapter 4.2.2  DP II  p.53 / Chapter 4.3  Approximate Analytical Solution  p.56 / Chapter 4.4  Computational Result Comparison  p.65 / Chapter 5  Conclusions  p.73 / Chapter A  Source Data  p.76 / Chapter A.l  rti  p.76 / Chapter A.2  qti  p.79 / Chapter B  Model II Numerical Example and Result  p.82 / Chapter B.  l Value of xti when A = 0.3  p.82 / Chapter B.2  Value of xti when A = 0.6  p.84 / Chapter B.3  Value of xti when A = 0.9  p.88 / Chapter B.4  True Value of xti  p.91 / Chapter C  Model III Numerical Example and Result  p.98 / Chapter C.l  The Value of Mt of DP II  p.98 / Chapter C.2  Track of Optimal Value of DP II  p.101 / Chapter C.3  The Optimal Total Wealth of DP II  p.105 / Chapter C.4  The Optimal Asset Allocation of P4  p.109 / Bibliography  p.113

10 
Theoretical and numerical study on continuoustime meanvariance optimal strategies. / Theoretical & numerical study on continuoustime meanvariance optimal strategiesJanuary 2006 (has links)
Li Yan. / Thesis (M.Phil.)Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 8788). / Abstracts in English and Chinese. / Chapter 1  Introduction  p.1 / Chapter 2  Literature Review  p.8 / Chapter 2.1  Markowitz´ةs SinglePeriod MeanVariance Model  p.9 / Chapter 2.2  DiscreteTime MeanVariance Problem  p.10 / Chapter 2.2.1  Optimal BuyandHold Policy  p.11 / Chapter 2.2.2  Optimal Rolling Markowitz Policy  p.12 / Chapter 2.2.3  MultiPeriod MeanVariance Optimal Policy  p.12 / Chapter 2.3  ContinuousTime Market  p.13 / Chapter 2.3.1  Optimal Unconstrained Policy  p.15 / Chapter 2.3.2  Bankruptcy Prohibited Optimal Policy  p.16 / Chapter 2.3.3  NoShorting Optimal Policy  p.17 / Chapter 2.4  Continuously Rebalancing Optimal Policy  p.18 / Chapter 3  Discretized ContinuousTime Optimal Policies  p.20 / Chapter 3.1  Problem Setup  p.21 / Chapter 3.2  Unconstrained Problem  p.25 / Chapter 3.3  Problem with Noshorting Constraint  p.31 / Chapter 3.4  Problem with NoBankruptcy Constraint  p.34 / Chapter 3.4.1  Quasi NoBankruptcy Problem  p.36 / Chapter 3.5  Stability of the Simulation  p.38 / Chapter 3.6  Concluding Remarks  p.41 / Chapter 4  Performance of ContinuousTime MV Optimal Policies  p.43 / Chapter 4.1  Measures of the Performance by Probabilities  p.45 / Chapter 4.2  Performance of the Optimal MeanVariance Portfolio  p.51 / Chapter 4.2.1  TargetHitting Probability  p.51 / Chapter 4.2.2  CutOff Probability  p.53 / Chapter 4.2.3  TargetHittingbeforeCutOff Probability  p.58 / Chapter 4.3  Numerical Evaluations of Probabilities for DiscreteTime Market  p.63 / Chapter 4.3.1  Simulation on TargetHitting Probability  p.64 / Chapter 4.3.2  Simulation on ZeroHitting Probability  p.66 / Chapter 4.3.3  Simulation on TargetHittingbeforeBankruptcy Probability  p.67 / Chapter 4.4  Policy Comparison  p.68 / Chapter 4.4.1  Profile of the Probabilities  p.70 / Chapter 4.4.2  Impact of z on the Probabilities  p.72 / Chapter 4.5  Concluding Remarks  p.74 / Chapter 5  Empirical Analysis  p.75 / Chapter 5.1  Experiment Description and Parameter Estimation  p.76 / Chapter 5.1.1  Introduction of the Data  p.76 / Chapter 5.1.2  Experiment Description  p.77 / Chapter 5.1.3  Parameter Estimation  p.79 / Chapter 5.2  Empirical Results and Analysis  p.80 / Chapter 5.2.1  Performance Indicator  p.80 / Chapter 5.2.2  Experimental Results and Analysis  p.81 / Chapter 5.3  Concluding Remarks  p.83 / Chapter 6  Summary  p.84 / Bibliography  p.87

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