Optimal investment for a large investor in a regime-switching model [Elektronische Ressource] / Michael Busch

Optimal Investment for a Large Investorin a Regime-Switching ModelMichael BuschVom 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. Gutachterin: Prof. Dr. Nicole B¨auerleDatum der Disputation: 1. M¨arz 2011D 386iiiAcknowledgementsFirst and foremost, I would like to thank my advisor Prof. Dr. RalfKorn for his support and guidance throughout my PhD studies. Healways found the time to help me with his good advice and construc-tive criticism. I am also very grateful to Prof. Dr. Nicole Ba¨uerle foraccepting to act as a referee for this thesis.I sincerely thank Dr. Frank Seifried for the good collaboration andthe fruitful discussions. ThebasicideaofthemodelthatIinvestigatein this thesis was developed by him.Further I would like to thank my colleagues and friends at the de-partment for the pleasant working atmosphere.My special thanks go to my family for their constant support duringmy studies.Finally I gratefully acknowledge the financial support by the Bun-desministerium fu¨r Bildung und Forschung in the context ofthe jointresearch project ’Alternative Investments: Modellierung, Statistik,Risikomanagement und Software’ (FKZ: 03KOPAD1).