The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....

In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...

In the first chapter, I analyze the question that whether the elasticity ofintertemporal substitution or risk aversion is more important determinant of precautionarysavings. This is an important question since a significant fraction of the capitalaccumulation is due to precautionary savings...

The introduction of single stock futures to a market presents the opportunity to assess an individualcompany's response to futures trading directly, in contrast to the market-wide impact obtainedfrom index futures studies. Thirty-eight South African companies were evaluated in terms of apossible...

We are interested in the concept of dynamic pricing of production capacity in a supply chain and in particular, understanding how the supply chain structure might affect the volatility of capacity prices. We find that supply chains with high capacity costs will experience high price volatility....

Es wird ein Ansatz und ein Algorithmus zur Lösung von stochastischen Stoppproblemen vorgestellt, der auf einer dualen Formulierung zum klassischen Lösungsansatz für Stoppprobleme mittels Variationsungleichungen basiert. Unter bestimmten Voraussetzungen kann man für diese duale Formulierung...

We study sequential decision making problems in cooperative systems where different agents with different information want to achieve a common objective. The sequential nature of the decision problem implies that all decisions can be arranged in a sequence such that the information available to...

A real-time method is presented to adoptively estimate three-dimensional unmodeled external torques acting on a spacecraft. This is accomplished by forcing the tracking error dynamics to follow the Lyapunov function underlying the feedback control law. For the case where the external torque is...

Structural classification and parameter estimation (SCPE) methods have been used for studying single-input single. output (SISO) parallel and feedback nonlinear system models from input-output (I-O) measurements. The uniqueness of the I-O mappings of different models and parameter uniqueness of...