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

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.