Keywords

Portfolio optimization, arbitrage free, transaction costs, utility function

Abstract

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.

Notes

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Graduation Date

2013

Semester

Spring

Advisor

Yong, Jiongmin

Degree

Master of Science (M.S.)

College

College of Sciences

Department

Mathematics

Degree Program

Mathematical Science

Format

application/pdf

Identifier

CFE0004696

URL

http://purl.fcla.edu/fcla/etd/CFE0004696

Language

English

Release Date

May 2013

Length of Campus-only Access

None

Access Status

Masters Thesis (Open Access)

Subjects

Dissertations, Academic -- Sciences, Sciences -- Dissertations, Academic,

Restricted to the UCF community until May 2013; it will then be open access.

Included in

Mathematics Commons

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