This thesis deals with 3 important aspects of optimal investment in real-world financial markets: taxes, crashes, and illiquidity. An introductory chapter reviews the portfolio problem in its historical context and motivates the theme of this work: We extend the standard modelling framework to...

This article presents a structural model for interbank money market rates (XIBOR rates) that endogenously generates the basis spreads that characterize post-crisis fixed income markets: XIBOR-OIS spreads, tenor basis spreads, and the forward basis. In contrast to existing multi-curve models,...