Mean-variance optimal portfolios for Lévy processes and a singular stochastic control model for capacity expansion
In the first part of the thesis, the problem of determining the optimal capacity expansion strategy for a firm operating within a random economic environment is studied. The underlying market uncertainty is modelled by means of a general one-dimensional positive diffusion with possible absorption at...
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London School of Economics and Political Science (University of London)
2018
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.755854 |