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You searched for +publisher:"University of Texas – Austin" +contributor:("Zariphopoulou, Thaleia, 1962-"). Showing records 1 – 5 of 5 total matches.

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1. Stoikov, Sasha Ferdinand. Optimal strategies in incomplete financial markets.

Degree: PhD, Mathematics, 2005, University of Texas – Austin

 This thesis analyzes the optimal strategies of rational agents in incomplete financial markets. The incompleteness may arise from the stochastic volatility of stock prices, in… (more)

Subjects/Keywords: Rational agents; Incomplete financial markets; Optimal pricing; Hedging strategy; Option traders; Relative indifference price; Stock volitility; Risk aversion coefficient

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APA (6th Edition):

Stoikov, S. F. (2005). Optimal strategies in incomplete financial markets. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/24355

Chicago Manual of Style (16th Edition):

Stoikov, Sasha Ferdinand. “Optimal strategies in incomplete financial markets.” 2005. Doctoral Dissertation, University of Texas – Austin. Accessed February 24, 2020. http://hdl.handle.net/2152/24355.

MLA Handbook (7th Edition):

Stoikov, Sasha Ferdinand. “Optimal strategies in incomplete financial markets.” 2005. Web. 24 Feb 2020.

Vancouver:

Stoikov SF. Optimal strategies in incomplete financial markets. [Internet] [Doctoral dissertation]. University of Texas – Austin; 2005. [cited 2020 Feb 24]. Available from: http://hdl.handle.net/2152/24355.

Council of Science Editors:

Stoikov SF. Optimal strategies in incomplete financial markets. [Doctoral Dissertation]. University of Texas – Austin; 2005. Available from: http://hdl.handle.net/2152/24355

2. Wang, Haoran, Ph. D. Forward optimization and real-time model adaptation with applications to portfolio management, indifference valuation and optimal liquidation.

Degree: PhD, Mathematics, 2019, University of Texas – Austin

 The goal of this thesis is to introduce a new, alternative approach to deal with model uncertainty and “real-time” model revisions and, in turn, develop… (more)

Subjects/Keywords: Forward performance processes; Optimal control; Adaptive control; Time consistency; Regret; Real-time model adaptation; Portfolio management; Indifference valuation; Optimal liquidation

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APA (6th Edition):

Wang, Haoran, P. D. (2019). Forward optimization and real-time model adaptation with applications to portfolio management, indifference valuation and optimal liquidation. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://dx.doi.org/10.26153/tsw/2836

Chicago Manual of Style (16th Edition):

Wang, Haoran, Ph D. “Forward optimization and real-time model adaptation with applications to portfolio management, indifference valuation and optimal liquidation.” 2019. Doctoral Dissertation, University of Texas – Austin. Accessed February 24, 2020. http://dx.doi.org/10.26153/tsw/2836.

MLA Handbook (7th Edition):

Wang, Haoran, Ph D. “Forward optimization and real-time model adaptation with applications to portfolio management, indifference valuation and optimal liquidation.” 2019. Web. 24 Feb 2020.

Vancouver:

Wang, Haoran PD. Forward optimization and real-time model adaptation with applications to portfolio management, indifference valuation and optimal liquidation. [Internet] [Doctoral dissertation]. University of Texas – Austin; 2019. [cited 2020 Feb 24]. Available from: http://dx.doi.org/10.26153/tsw/2836.

Council of Science Editors:

Wang, Haoran PD. Forward optimization and real-time model adaptation with applications to portfolio management, indifference valuation and optimal liquidation. [Doctoral Dissertation]. University of Texas – Austin; 2019. Available from: http://dx.doi.org/10.26153/tsw/2836


University of Texas – Austin

3. Geng, Tianran. Essays on forward portfolio theory and financial time series modeling.

Degree: PhD, Mathematics, 2017, University of Texas – Austin

 This dissertation contains four self-contained essays that explore the application of stochastic and statistical modeling techniques to the problem of optimal portfolio choice and financial… (more)

Subjects/Keywords: Forward portfolio theory; Time series analysis; Optimal portfolio choice; Mathematical finance

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APA (6th Edition):

Geng, T. (2017). Essays on forward portfolio theory and financial time series modeling. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/63031

Chicago Manual of Style (16th Edition):

Geng, Tianran. “Essays on forward portfolio theory and financial time series modeling.” 2017. Doctoral Dissertation, University of Texas – Austin. Accessed February 24, 2020. http://hdl.handle.net/2152/63031.

MLA Handbook (7th Edition):

Geng, Tianran. “Essays on forward portfolio theory and financial time series modeling.” 2017. Web. 24 Feb 2020.

Vancouver:

Geng T. Essays on forward portfolio theory and financial time series modeling. [Internet] [Doctoral dissertation]. University of Texas – Austin; 2017. [cited 2020 Feb 24]. Available from: http://hdl.handle.net/2152/63031.

Council of Science Editors:

Geng T. Essays on forward portfolio theory and financial time series modeling. [Doctoral Dissertation]. University of Texas – Austin; 2017. Available from: http://hdl.handle.net/2152/63031

4. -9740-0742. Applications of forward performance processes in dynamic optimal portfolio management.

Degree: PhD, Information, Risk, and Operations Management, 2018, University of Texas – Austin

 The classical optimal investment models are cast in a finite or infinite horizon setting, assuming an a priori choice of a market model (or a… (more)

Subjects/Keywords: Forward performance; Portfolio optimization; Lifecycle fund; Mean-variance analysis

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APA (6th Edition):

-9740-0742. (2018). Applications of forward performance processes in dynamic optimal portfolio management. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/63813

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Chicago Manual of Style (16th Edition):

-9740-0742. “Applications of forward performance processes in dynamic optimal portfolio management.” 2018. Doctoral Dissertation, University of Texas – Austin. Accessed February 24, 2020. http://hdl.handle.net/2152/63813.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

MLA Handbook (7th Edition):

-9740-0742. “Applications of forward performance processes in dynamic optimal portfolio management.” 2018. Web. 24 Feb 2020.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Vancouver:

-9740-0742. Applications of forward performance processes in dynamic optimal portfolio management. [Internet] [Doctoral dissertation]. University of Texas – Austin; 2018. [cited 2020 Feb 24]. Available from: http://hdl.handle.net/2152/63813.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Council of Science Editors:

-9740-0742. Applications of forward performance processes in dynamic optimal portfolio management. [Doctoral Dissertation]. University of Texas – Austin; 2018. Available from: http://hdl.handle.net/2152/63813

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

5. Tiu, Cristian Ioan. On the Merton problem in incomplete markets.

Degree: PhD, Mathematics, 2002, University of Texas – Austin

Subjects/Keywords: Utility theory; Stochastic analysis; Investments – Mathematics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Tiu, C. I. (2002). On the Merton problem in incomplete markets. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/997

Chicago Manual of Style (16th Edition):

Tiu, Cristian Ioan. “On the Merton problem in incomplete markets.” 2002. Doctoral Dissertation, University of Texas – Austin. Accessed February 24, 2020. http://hdl.handle.net/2152/997.

MLA Handbook (7th Edition):

Tiu, Cristian Ioan. “On the Merton problem in incomplete markets.” 2002. Web. 24 Feb 2020.

Vancouver:

Tiu CI. On the Merton problem in incomplete markets. [Internet] [Doctoral dissertation]. University of Texas – Austin; 2002. [cited 2020 Feb 24]. Available from: http://hdl.handle.net/2152/997.

Council of Science Editors:

Tiu CI. On the Merton problem in incomplete markets. [Doctoral Dissertation]. University of Texas – Austin; 2002. Available from: http://hdl.handle.net/2152/997

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