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Optimization problem in single period markets
- Date Issued:
- 2013
- Abstract/Description:
- There had been a number of researches that investigated on the security market without transactioncosts. The focus of this research is in the area that when the security market with transaction costsis fair and in such fair market how one chooses a suitable portfolio to optimize the financial goal.The research approach adopted in this thesis includes linear algebra and elementary probability.The thesis provides evidence that we can maximize expected utility function to achieve our goal(maximize expected return under certain risk tolerance). The main conclusions drawn from thisstudy are under certain conditions the security market is arbitrage-free, and we can always find anoptimal portfolio maximizing certain expected utility function.
Title: | Optimization problem in single period markets. |
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Name(s): |
Jiang, Tian, Author Yong, Jiongmin, Committee Chair Qi, Yuanwei, Committee Member Shuai, Zhisheng, Committee Member , Committee Member University of Central Florida, Degree Grantor |
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Type of Resource: | text | |
Date Issued: | 2013 | |
Publisher: | University of Central Florida | |
Language(s): | English | |
Abstract/Description: | There had been a number of researches that investigated on the security market without transactioncosts. The focus of this research is in the area that when the security market with transaction costsis fair and in such fair market how one chooses a suitable portfolio to optimize the financial goal.The research approach adopted in this thesis includes linear algebra and elementary probability.The thesis provides evidence that we can maximize expected utility function to achieve our goal(maximize expected return under certain risk tolerance). The main conclusions drawn from thisstudy are under certain conditions the security market is arbitrage-free, and we can always find anoptimal portfolio maximizing certain expected utility function. | |
Identifier: | CFE0004696 (IID), ucf:49875 (fedora) | |
Note(s): |
2013-05-01 M.S. Sciences, Mathematics Masters This record was generated from author submitted information. |
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Subject(s): | portfolio optimization -- arbitrage-free -- transaction costs -- utility function | |
Persistent Link to This Record: | http://purl.flvc.org/ucf/fd/CFE0004696 | |
Restrictions on Access: | public 2013-05-15 | |
Host Institution: | UCF |