Techn. Hochsch., Diss., 2005--Aachen.

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.

Diss. Wirtsch.-wiss. St. Gallen, 2005 ; Nr. 2977. / Literaturverz.

Esse trabalho propõe a inserção de restrição de liquidez em um modelo de seleção de carteiras, visando aplicação no mercado brasileiro. No Brasil, a Comissão de Valores Imobiliários (CVM) expõe a importância do controle da liquidez de fundos de investimentos através de instrução publicada em 2012. A restrição proposta considera parâmetros utilizados nas normas brasileiras de controle de liquidez, como percentual do total negociado máximo, nível de liquidação e prazo para liquidação. O modelo é aplicado considerando-se diversos cenários, sendo variados parâmetros como valor da carteira formada e nível de liquidação aceitável, em diferentes intervalos de formação de carteiras. Verificam-se os níveis de liquidação das carteiras formadas e seu impacto no nível de risco das mesmas. Os resultados se mostraram consistentes, com bons níveis de percentual liquidado das carteiras formadas, próximos aos níveis de liquidação aceitáveis. Foi constatado também um aumento do nível de risco das carteiras mais restritas pela liquidez. / This work proposes the insertion of a liquidity constraint in a portfolio selection model, aiming to be applied in the Brazilian market. In Brazil, the "Comissão de Valores Imobiliários" (CVM) exposes the importance of controlling the liquidity of investment funds through the instruction published in 2012 . The constraint proposed in this work considers parameters used in the Brazilian regulatory standards of liquidity control parameters such as maximum percentage of monetary value, liquidation level and liquidation term date. The model is applied considering several scenarios, varying parameters such as the portfolio value and acceptable liquidation level, in different portfolio formation intervals. The liquidation levels of the portfolios formed and their impact on the risk of the portfolios are verified. The results were consistent, with good levels of liquidation of the portfolios formed, close to acceptable liquidation levels. There was also an increase in the risk of liquidity-restricted portfolios.