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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Format: | Thesis-Doctor of Philosophy |
Language: | English |
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Nanyang Technological University
2023
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Online Access: | https://hdl.handle.net/10356/164007 |
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Institution: | Nanyang Technological University |
Language: | English |