File(s) under permanent embargo

Reason: Restricted by author. A copy can be supplied under Section 51(2) of the Australian Copyright Act 1968 by submitting a document delivery request through your library, or by emailing document.delivery@monash.edu

Dynamic and Simulation-Based Optimization for Portfolio Choice and Derivatives Pricing

thesis
posted on 29.08.2020, 01:00 by VASILEIOS KONTOSAKOS
This thesis focuses on the development of optimization frameworks to provide solutions to problems in time-varying asset allocation and derivatives pricing. The thesis consists of three essays. In the first, we develop a dynamic programming framework to examine the impact of return predictability and parameter uncertainty on long-term portfolio allocations, impacted by behavioural biases. The second essay deals with the development of a stochastic simulation framework for the pricing of barrier options, further extended in the final chapter where we allow for time-dependent volatility in the price process. In the same chapter, the pricing of credit derivatives is also studied.

History

Campus location

Australia

Principal supervisor

Athanasios Pantelous

Year of Award

2020

Department, School or Centre

Econometrics and Business Statistics

Course

Doctor of Philosophy

Degree Type

DOCTORATE