ProQuest dissertations and theses

In this thesis, we focus our study on the multi-period portfolio selection problems with different investment conditions. We first analyze the mean-variance multi-period portfolio selection problem with stochastic investment horizon. It is often the case that some unexpected endogenous and exogenous events may force an investor to terminate her investment and leave the market. We give the assumption that the uncertain investment horizon follows a given stochastic process. By making use of the embedding technique of Li and Ng (2000), the original nonseparable problem can be solved by solving an auxiliary problem. With the given assumption, the auxiliary problem can be translated into one with deterministic exit time and solved by dynamic programming. Furthermore, we consider the mean-variance formulation of multi-period portfolio optimization for asset-liability management with an exogenous uncertain investment horizon. Secondly, we consider the multi-period portfolio selection problem in an incomplete market with no short-selling or transaction cost constraint. We assume that the sample space is finite, and the number of possible security price vector transitions is equal to the number of securities. By introducing a family of auxiliary markets, we connect the primal problem to a set of optimization problems without no short-selling or without transaction costs constraint. In the no short-selling case, the auxiliary problem can be solved by using the martingale method of Pliska (1986), and the optimal terminal wealth of the original constrained problem can be derived. In the transaction cost case, we find that the dual problem, which is to minimize the optimal value for the set of optimization problems, is equivalent to the primal problem, when the primal problem has a solution, and we thus characterize the optimal solution accordingly.Yi, Lan.Adviser: Duan Li.Source: Dissertation Abstracts International, Volume: 72-11, Section: A, page: .Thesis (Ph.D.)--Chinese University of Hong Kong, 2009.Includes bibliographical references (leaves 133-139).Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web.Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.Abstract also in Chinese