Now showing items 1-8 of 8

    • Applications of Stochastic Control to Portfolio Selection Problems 

      Lin, Hongcan (University of Waterloo, 2018-10-16)
      Portfolio selection is an important problem both in academia and in practice. Due to its significance, it has received great attention and facilitated a large amount of research. This thesis is devoted to structuring optimal ...
    • Climate Change Risk in Stock Markets 

      Jiang, Ruihong (University of Waterloo, 2020-01-20)
      Climate change is becoming a common threat to the world and has been studied by scholars in various fields. In the field of finance, many papers have discussed financial market efficiency toward climate change in order to ...
    • Mortality Prediction using Statistical Learning Approaches 

      Meng, Yechao (University of Waterloo, 2022-11-21)
      Longevity risk, as one of the major risks faced by insurers, has triggered a heated stream of research in mortality modeling among actuaries for effective design/pricing/risk management of insurance products. The idea of ...
    • Numerical Solutions to Stochastic Control Problems: When Monte Carlo Simulation Meets Nonparametric Regression 

      Shen, Zhiyi (University of Waterloo, 2019-07-30)
      The theme of this thesis is to develop theoretically sound as well as numerically efficient Least Squares Monte Carlo (LSMC) methods for solving discrete-time stochastic control problems motivated by insurance and finance ...
    • Risk Management with Basis Risk 

      Zhang, Jingong (University of Waterloo, 2018-06-19)
      Basis risk occurs naturally in a variety of financial and actuarial applications, and it introduces additional complexity to the risk management problems. Current literature on quantifying and managing basis risk is still ...
    • Several Mathematical Problems in Investment Management 

      Jiang, Ruihong (University of Waterloo, 2023-08-21)
      This thesis studies four mathematical problems in investment management. All four problems arise from practical challenges and are data-driven. Chapter 2 investigates the Kelly portfolio strategy. The full Kelly strategy's ...
    • Sparse Models in High-Dimensional Dependence Modelling and Index Tracking 

      Han, Dezhao (University of Waterloo, 2017-01-17)
      This thesis is divided into two parts. The first part proposes parsimonious models to the vine copula. The second part is devoted to the index tracking problem. Vine copulas provide a flexible tool to capture asymmetry ...
    • A Statistical Response to Challenges in Vast Portfolio Selection 

      Guo, Danqiao (University of Waterloo, 2019-07-04)
      The thesis is written in response to emerging issues brought about by an increasing number of assets allocated in a portfolio and seeks answers to puzzling empirical findings in the portfolio management area. Over the ...


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