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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Bibliographic Details
Main Author: Ye, Zi
Other Authors: Patrick Pun Chi Seng
Format: Thesis-Doctor of Philosophy
Language:English
Published: Nanyang Technological University 2023
Subjects:
Online Access:https://hdl.handle.net/10356/164007
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Institution: Nanyang Technological University
Language: English