Optimal investment in the face of adversity [Elektronische Ressource] : taxes, crashes, and illiquidity / Frank Thomas Seifried
132 Pages
English

Optimal investment in the face of adversity [Elektronische Ressource] : taxes, crashes, and illiquidity / Frank Thomas Seifried

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Optimal Investmentin the Face of AdversityTaxes, Crashes, and IlliquidityFrank Thomas SeifriedFrank Thomas SeifriedDepartment of MathematicsUniversity of KaiserslauternErwin-Schr¨odinger-Straße67663 Kaiserslauternseifried@mathematik.uni-kl.deOptimal Investmentin the Face of AdversityTaxes, Crashes, and IlliquidityFrank Thomas SeifriedVom Fachbereich Mathematik der Technischen Universit¨at Kaiserslauternzur Verleihung des akademischen Grades Doktor der Naturwissenschaften(Doctor rerum naturalium, Dr. rer. nat.) genehmigte Dissertation.1. Gutachter: Prof. Dr. Ralf Korn2. Prof. Dr. Claudia Klupp¨ elbergDatum der Disputation: 12. Oktober 2009D386Risk comes from not knowingwhat you’re doing.Warren BuffettPrefaceThis thesis summarizes most of my recent research in themathematical theory of optimal investment. The theme ofthis work is the extension of the standard framework toinclude specific real-world features, and the evaluation oftheirsignificance.Myinterestfocusesinparticularonport-folio choice in the presence of taxes and under the threatof catastrophic events or illiquidity.Thecoreofthisworkrepresentsacompositionof4articles,which are grouped into 3 chapters on• portfolio choice with capital gains taxes,• worst-case optimal investment for crash scenarios, and• asset allocation under the threat of illiquidity.

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Published 01 January 2009
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Language English
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Optimal Investment
in the Face of Adversity
Taxes, Crashes, and Illiquidity
Frank Thomas SeifriedFrank Thomas Seifried
Department of Mathematics
University of Kaiserslautern
Erwin-Schr¨odinger-Straße
67663 Kaiserslautern
seifried@mathematik.uni-kl.deOptimal Investment
in the Face of Adversity
Taxes, Crashes, and Illiquidity
Frank Thomas Seifried
Vom Fachbereich Mathematik der Technischen Universit¨at Kaiserslautern
zur Verleihung des akademischen Grades Doktor der Naturwissenschaften
(Doctor rerum naturalium, Dr. rer. nat.) genehmigte Dissertation.
1. Gutachter: Prof. Dr. Ralf Korn
2. Prof. Dr. Claudia Klupp¨ elberg
Datum der Disputation: 12. Oktober 2009
D386Risk comes from not knowing
what you’re doing.
Warren BuffettPreface
This thesis summarizes most of my recent research in the
mathematical theory of optimal investment. The theme of
this work is the extension of the standard framework to
include specific real-world features, and the evaluation of
theirsignificance.Myinterestfocusesinparticularonport-
folio choice in the presence of taxes and under the threat
of catastrophic events or illiquidity.
Thecoreofthisworkrepresentsacompositionof4articles,
which are grouped into 3 chapters on
• portfolio choice with capital gains taxes,
• worst-case optimal investment for crash scenarios, and
• asset allocation under the threat of illiquidity.
The structure and style of the thesis reflect its origins:
Each of the 4 main parts consists of a revised and partly
extended version of a corresponding original research ar-
ticle that has been submitted or accepted for publication
in a scientific journal. The 4 parts are independent of each
other, and each features an abstract as well as its own
numbering and a separate list of references. In addition,
an introductory chapter gives a more detailed account of
the background and contents of the thesis.
Kaiserslautern, April 2006–May 2009