Dynamically optimal portfolio selection with frictions and portfolio constraints
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-t...
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| Format: | Thesis-Doctor of Philosophy |
| Language: | English |
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Nanyang Technological University
2023
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| Online Access: | https://hdl.handle.net/10356/164007 |
| _version_ | 1824454197693644800 |
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| author | Ye, Zi |
| author2 | Patrick Pun Chi Seng |
| author_facet | Patrick Pun Chi Seng Ye, Zi |
| author_sort | Ye, Zi |
| collection | NTU |
| description | 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. |
| first_indexed | 2025-02-19T03:18:29Z |
| format | Thesis-Doctor of Philosophy |
| id | ntu-10356/164007 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2025-02-19T03:18:29Z |
| publishDate | 2023 |
| publisher | Nanyang Technological University |
| record_format | dspace |
| spelling | ntu-10356/1640072023-02-28T23:58:04Z Dynamically optimal portfolio selection with frictions and portfolio constraints Ye, Zi Patrick Pun Chi Seng School of Physical and Mathematical Sciences cspun@ntu.edu.sg Science::Mathematics::Applied mathematics::Operational research 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. Doctor of Philosophy 2023-01-05T05:18:01Z 2023-01-05T05:18:01Z 2021 Thesis-Doctor of Philosophy Ye, Z. (2021). Dynamically optimal portfolio selection with frictions and portfolio constraints. Doctoral thesis, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/164007 https://hdl.handle.net/10356/164007 10.32657/10356/164007 en This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License (CC BY-NC 4.0). application/pdf Nanyang Technological University |
| spellingShingle | Science::Mathematics::Applied mathematics::Operational research Ye, Zi Dynamically optimal portfolio selection with frictions and portfolio constraints |
| title | Dynamically optimal portfolio selection with frictions and portfolio constraints |
| title_full | Dynamically optimal portfolio selection with frictions and portfolio constraints |
| title_fullStr | Dynamically optimal portfolio selection with frictions and portfolio constraints |
| title_full_unstemmed | Dynamically optimal portfolio selection with frictions and portfolio constraints |
| title_short | Dynamically optimal portfolio selection with frictions and portfolio constraints |
| title_sort | dynamically optimal portfolio selection with frictions and portfolio constraints |
| topic | Science::Mathematics::Applied mathematics::Operational research |
| url | https://hdl.handle.net/10356/164007 |
| work_keys_str_mv | AT yezi dynamicallyoptimalportfolioselectionwithfrictionsandportfolioconstraints |