Return to search

Optimization Problem In Single Period Markets

There had been a number of researches that investigated on the security market without transaction costs. The focus of this research is in the area that when the security market with transaction costs is 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 this study are under certain conditions the security market is arbitrage-free, and we can always find an optimal portfolio maximizing certain expected utility function.

Identiferoai:union.ndltd.org:ucf.edu/oai:stars.library.ucf.edu:etd-3543
Date01 January 2013
CreatorsJiang, Tian
PublisherSTARS
Source SetsUniversity of Central Florida
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceElectronic Theses and Dissertations

Page generated in 0.0018 seconds