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Minimal Hellinger Deflators and HARA Forward Utilities with Applications: Hedging with Variable Horizon
DownloadFall 2013
This thesis develops three major essays on the topic of horizon-dependence for optimal portfolio. The first essay contributes extensively to the newest concept of forward utilities. In this essay, we describe explicitly three classes of forward utilities--that we call HARA forward utilities--as...
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Reflected Backward Stochastic Differential Equations for Informational Systems with Applications
DownloadSpring 2022
The core innovation of this thesis lies in studying reflected backward stochastic differential equations (RBSDE hereafter) for informational systems. An informational system is a system where there is discrepancy in the information received by agents over time. In this thesis, we restrict to the...