Search for dissertations about: "non-Gaussian Ornstein-Uhlenbeck process"

Found 1 swedish dissertation containing the words non-Gaussian Ornstein-Uhlenbeck process.

2. 1. Portfolio Optimization and Statistics in Stochastic Volatility Markets

   Author : Carl Lindberg; Göteborgs universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Stochastic control; portfolio optimization; verification theorem; Feynman-Kac formula; stochastic volatility; non-Gaussian Ornstein-Uhlenbeck process; estimation; number of trades; stochastic volatility;

   Abstract : Large financial portfolios often contain hundreds of stocks. The aim of this thesis is to find explicit optimal trading strategies that can be applied to portfolios of that size for different n-stock extensions of the model by Barndorff-Nielsen and Shephard [3]. READ MORE