Portfolio optimization, arbitrage free, transaction costs, utility function
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.
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Master of Science (M.S.)
College of Sciences
Length of Campus-only Access
Masters Thesis (Open Access)
Dissertations, Academic -- Sciences, Sciences -- Dissertations, Academic,
Jiang, Tian, "Optimization Problem In Single Period Markets" (2013). Electronic Theses and Dissertations, 2004-2019. 2544.