CEU Electronic Theses and Dissertations, 2017
| Author | Mohammed, Nawaf Mahmood Abdullah |
|---|---|
| Title | A Comparison Of Optimal Strategies Under Law Invariant Coherent Risk Measures and Utility Functionals |
| Summary | In this paper I will compare optimal investment under two measures. First using the basic market assumptions (Axioms) to construct risk measures which are used to rank our investments. Second is by using the economics theory of utility to asses our investments and prioritize them accordingly. The two approaches are used to choose the best investments according to the optimal strategies that arise. The aim is to compare these strategies and see the driving forces behind their differences. Using simulations and multiple pricing models, progressive in complexity, the final result should give a picture on the intrinsic features of the two approaches. |
| Supervisor | Rásonyi, Miklós |
| Department | Mathematics MSc |
| Full text | https://www.etd.ceu.edu/2017/mohammed_nawaf.pdf |
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