Decision Making under Uncertainty in Financial Markets is popular PDF and ePub book, written by Jonas Ekblom in 2018-09-13, it is a fantastic choice for those who relish reading online the Uncategoriezed genre. Let's immerse ourselves in this engaging Uncategoriezed book by exploring the summary and details provided below. Remember, Decision Making under Uncertainty in Financial Markets can be Read Online from any device for your convenience.
Decision Making under Uncertainty in Financial Markets Book PDF Summary
This thesis addresses the topic of decision making under uncertainty, with particular focus on financial markets. The aim of this research is to support improved decisions in practice, and related to this, to advance our understanding of financial markets. Stochastic optimization provides the tools to determine optimal decisions in uncertain environments, and the optimality conditions of these models produce insights into how financial markets work. To be more concrete, a great deal of financial theory is based on optimality conditions derived from stochastic optimization models. Therefore, an important part of the development of financial theory is to study stochastic optimization models that step-by-step better capture the essence of reality. This is the motivation behind the focus of this thesis, which is to study methods that in relation to prevailing models that underlie financial theory allow additional real-world complexities to be properly modeled. The overall purpose of this thesis is to develop and evaluate stochastic optimization models that support improved decisions under uncertainty on financial markets. The research into stochastic optimization in financial literature has traditionally focused on problem formulations that allow closed-form or `exact' numerical solutions; typically through the application of dynamic programming or optimal control. The focus in this thesis is on two other optimization methods, namely stochastic programming and approximate dynamic programming, which open up opportunities to study new classes of financial problems. More specifically, these optimization methods allow additional and important aspects of many real-world problems to be captured. This thesis contributes with several insights that are relevant for both financial and stochastic optimization literature. First, we show that the modeling of several real-world aspects traditionally not considered in the literature are important components in a model which supports corporate hedging decisions. Specifically, we document the importance of modeling term premia, a rich asset universe and transaction costs. Secondly, we provide two methodological contributions to the stochastic programming literature by: (i) highlighting the challenges of realizing improved decisions through more stages in stochastic programming models; and (ii) developing an importance sampling method that can be used to produce high solution quality with few scenarios. Finally, we design an approximate dynamic programming model that gives close to optimal solutions to the classic, and thus far unsolved, portfolio choice problem with constant relative risk aversion preferences and transaction costs, given many risky assets and a large number of time periods.
Detail Book of Decision Making under Uncertainty in Financial Markets PDF
- Author : Jonas Ekblom
- Release : 13 September 2018
- Publisher : Linköping University Electronic Press
- ISBN : 9789176852026
- Genre : Uncategoriezed
- Total Page : 36 pages
- Language : English
- PDF File Size : 16,6 Mb
If you're still pondering over how to secure a PDF or EPUB version of the book Decision Making under Uncertainty in Financial Markets by Jonas Ekblom, don't worry! All you have to do is click the 'Get Book' buttons below to kick off your Download or Read Online journey. Just a friendly reminder: we don't upload or host the files ourselves.