Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/164007
Title: Dynamically optimal portfolio selection with frictions and portfolio constraints
Authors: Ye, Zi
Keywords: Science::Mathematics::Applied mathematics::Operational research
Issue Date: 2021
Publisher: Nanyang Technological University
Source: Ye, Z. (2021). Dynamically optimal portfolio selection with frictions and portfolio constraints. Doctoral thesis, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/164007
Abstract: Portfolio selection is central in financial mathematics, which aims to find the best allocation of wealth according to the investor's preference. Among a variety of decision-making models on this topic, this thesis studies two different representatives of portfolio optimization in a discrete-time setting, namely classical mean-variance and behavioural S-shaped portfolio optimization. Moreover, note that the real financial market is not always frictionless and unconstrained in trading. We examine the portfolio optimization problems in a market with frictions and constraints that impact the investment policy. First, we study mean-variance portfolio selection problem in multiple periods and consider the proportional transaction costs under a no-shorting financial market. Second, we study the behavioural portfolio optimization of the case with one risky asset and no shorting constraint and the case with multiple elliptically distributed risky assets and cone constraints.
URI: https://hdl.handle.net/10356/164007
DOI: 10.32657/10356/164007
Rights: This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License (CC BY-NC 4.0).
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:SPMS Theses

Files in This Item:
File Description SizeFormat 
Thesis_YEZI_vFinal.pdf2.53 MBAdobe PDFView/Open

Page view(s)

24
Updated on Feb 5, 2023

Download(s)

8
Updated on Feb 5, 2023

Google ScholarTM

Check

Altmetric


Plumx

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.