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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.
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.
DOI: 10.32657/10356/164007
Schools: School of Physical and Mathematical Sciences 
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

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