risky assets Archives - Projects, Thesis, Dissertation, Project Reports

Bond markets where prices are driven by a general marked point process

We investigate the term structure for the case when interest rates are allowed to be driven by a general marked point process as well as by a Wiener process. Developing a theory which allows for measure-valued trading portfolios we study existence and

Forecasting the Equity Premium and Optimal Portfolios

The expected equity premium is an important parameter in many financial models, especially within portfolio optimization. A good forecast of the future equity premium is therefore of great interest. In this thesis we seek to forecast the equity premium, use it in

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