Discrete time mean variance portfolio selection with transaction costs

... continuous -time mean- variance portfolio selection by Zhou and Li (2000) [15] Another development in portfolio selection is the extension of a frictionless market to one with transaction costs Historically, ... to incorporate transaction costs in a discrete- time market setting Li and Ng (2000) [3] solved the multi-period discrete- time mean- variance problem w...

Ngày tải lên: 04/10/2015, 16:03

... assets in a portfolio 1.1 Review on portfolio selection with transaction costs The portfolio selection problem has received extensive attention from researchers The key words portfolio selection ... by the articles are quite similar Most studies deal with portfolio 1.1 Review on portfolio selection with transaction costs selection problem with two approache...

Ngày tải lên: 11/09/2015, 10:01

... Abstract This thesis studies the finite horizon optimal trading strategy with proportional transaction costs in a regime switching stock market This problem is an extension of the classic investment ... buying and selling boundaries This is due to the difficulty in dealing with the variational inequalities with gradient constraints Dai et al (2010) has establis...

Ngày tải lên: 06/10/2015, 20:57

... exponential stabilizability of discrete-time systems with time-delayed states Finally, as an application, we consider the global stabilization of the nonlinear control systems Preliminaries In this ... observability, controllability, and stabilization of linear elastodynamic systems, ” SIAM Journal on Control and Optimization, vol 37, no 2, pp 521–542, 1999 10 E K Bouka...

Ngày tải lên: 21/06/2014, 20:20

... Mathematics and Computation, vol 173, no 2, pp 694–709, 2006 11 F Chen, Permanence of a discrete N-species cooperation system with time delays and feedback controls,” Applied Mathematics and Computation, ... Theoretical Ecology, Principles and Applications, Sounders, Philadelphia, Pa, USA, 1976 R P Agarwal, Difference Equations and Inequalities: Theory, Methods, a...

Ngày tải lên: 21/06/2014, 20:20

... Zhang, “Estimate of total stability of delay difference systems, ” Computers & Mathematics with Applications, vol 37, no 9, pp 31–38, 1999 12 S A Kuruklis, “The asymptotic stability of xn − axn bxn−k ... the zero solution of 4.1 - 2.3 is absolutely stable Remark 4.2 I want to point out that this approach is just of interest for systems with “slowly changing” matrices The p...

Ngày tải lên: 22/06/2014, 06:20

... frequency-asynchronous networks is a challenging task and is left for future work DISTRIBUTED TIME SYNCHRONIZATION AS COUPLED DISCRETE -TIME PLLs The purpose of this section is to discuss the distributed synchronization ... baseband signal received by the kth node in the nth time period reads (sampling index m ranges within −N/2 < m ≤ N/2 with m = corresponding to the firi...

Ngày tải lên: 22/06/2014, 19:20

... capacitor and the resulting voltage (V = Q/Cs ) increases with the integration window, thus giving rise to a discrete signal processing gain of N The temporal integration of N half-rectified RF samples ... February 2004 [4] K Muhammad and R B Staszewski, Direct RF sampling mixer with recursive filtering in charge domain,” in Proceedings of the International Sympos...

Ngày tải lên: 22/06/2014, 22:20

... estimate dk based on output information will be given in subsection 4.3 Output Tracking with Discrete-Time Integral Sliding Mode Control 4.2 253 Stability Analysis With the controller design, ... PI controllers Output Tracking with Discrete-Time Integral Sliding Mode Control 265 0.015 ISMC 0.01 e [mm] 0.005 −0.005 −0.01 −0.015 0.5 1.5 t [sec] Fig Position t...

Ngày tải lên: 01/07/2015, 10:08

... thesis, the continuous- time finite -horizon optimal investment and consumption problems with proportional transaction costs are studied Through probabilistic approach, we investigate the optimal investment ... investment problem with transaction costs in probabilistic approach In Chapter 3, we consider the continuous- time finite -horizon optimal invest...

Ngày tải lên: 14/09/2015, 08:46

... pioneer work of Markowitz (1952, 1959) on the mean- variance (MV) portfolio optimization procedure is a milestone in modern finance theory for optimal portfolio construction, asset allocation and investment ... during the entire period of my study CONTENTS i Contents Introduction 1.1 Markowitz s Mean- Variance Principle 1.2 The Markowitz Optimization Enigma 1.3 Existing ......

Ngày tải lên: 14/09/2015, 12:42

... every continuous -time controller K with a discrete- time approximation Kd via discretization method; synthesis and analysis of the controller are then performed in continuous -time, with the underlying ... researchers to approach discrete- time sliding mode control from two directions The first is the emulation that focuses on how to map continuous -time sliding mode co...

Ngày tải lên: 14/09/2015, 14:12

... information ratio is almost the same as the Sharpe ratio The value of the ratio depends crucially on the benchmark selected 19 20 CHAPTER The New Performance Measure (Mean- Variance ratio) and Hypothesis ... Hypothesis testings with the new performance measure 28 3.3.1 Introduction of some concepts and theorems 28 3.3.2 Hypothesis testing with mean- variance...

Ngày tải lên: 30/09/2015, 14:23

... infinite set of possible signals is converted into a finite set The next step of encoding maps the finite set of discrete time, continuous amplitude signals into a finite set of discrete time, discrete ... its domain A discrete time, continuous amplitude signal has R as its range A discrete time, discrete amplitude signal has Z as its range Here, the focus is on discr...

Ngày tải lên: 18/10/2013, 04:15

... Analysis Matiur Rahman and Isaac Mulolani Continuous Signals and Systems with MATLAB Taan ElAli and Mohammad A Karim Discrete Systems and Digital Signal Processing with MATLAB Taan ElAli Electromagnetics ... FIGURE 1.4 Signals for Example 1.1 1.5 0.5 FIGURE 1.5 The step discrete signal n Discrete Systems and Digital Signal Processing with MATLAB 1...

Ngày tải lên: 01/01/2014, 21:13