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Optimization problem in single period markets

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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
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.
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

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