Robust optimization with application in asset management [Elektronische Ressource] / Katrin Schöttle

Technische Universität MünchenZentrum MathematikHVB-Stiftungsinstitut für FinanzmathematikRobust Optimizationwith Application in Asset ManagementKatrin SchöttleVollständiger Abdruck der von der Fakultät für Mathematik der TechnischenUniversität München zur Erlangung des akademischen Grades einesDoktors der Naturwissenschaften (Dr.rer.nat.)genehmigten Dissertation.Vorsitzende: Univ.-Prof.Dr. Claudia KlüppelbergPrüfer der Dissertation: 1. Univ.-Prof.Dr. Rudi Zagst2. Dr. Jan-Joachim Rückmann, Senior LecturerUniversity of Birmingham / U.K.DieDissertationwurdeam27.06.2007beiderTechnischenUniversitäteingereichtund durch die Fakultät für Mathematik am 12.11.2007 angenommen.iiAcknowledgementsFirst of all I would like to thank my advisor Prof. Dr. Rudi Zagst who offeredme the chance to do a dissertation at the Institute for Mathematical Finance atthe TU München. He provided a comfortable working environment and was openfor questions whenever needed. I am also very grateful for the possibilities andthe financial support that allowed me to present my research results at variousinternational conferences. I would furthermore like to thank Dr. habil. JanRückmann for being my co-referee.My most sincere thanks go to Dr. Ralf Werner, without whom this disser-tation would not have been possible. Not only did he initiate the thesis topic,he also spent many evenings and long Sunday afternoons discussing mathemati-cal problems with me.