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Multi-period optimal portfolio selection with limited rebalancing opportunities.

Wang, Yang. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (p. 72-74). / Abstracts in English and Chinese. / Chapter 1 --- Literature Review and Model Description --- p.1 / Chapter 1.1 --- Portfolio theory under mean-variance framework --- p.2 / Chapter 1.2 --- Portfolio theory under utility-maximizing framework --- p.5 / Chapter 1.3 --- Model Description --- p.11 / Chapter 2 --- Parameterized optimal rebalancing strategy --- p.14 / Chapter 2.1 --- An open-loop policy of the T-horizon model --- p.16 / Chapter 2.2 --- A closed-loop policy of the T-horizon model --- p.24 / Chapter 2.3 --- Illustrative numerical example --- p.36 / Chapter 3 --- Non-parameterized optimal rebalancing model --- p.46 / Chapter 3.1 --- T=2 period problem --- p.47 / Chapter 3.2 --- T=3 period problem --- p.55 / Chapter 4 --- s-S type policy --- p.59 / Chapter 4.1 --- Exponential K-convex function --- p.60 / Chapter 4.2 --- Revised multiperiod portfolio selection model --- p.62 / Chapter 5 --- Conclusion and summary of work --- p.70 / Bibliography --- p.71

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327336
Date January 2011
ContributorsWang, Yang., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vi, 74 p. : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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