Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-0430104-123456


Document Typethesis
Author NameAsumeng-Denteh, Emmanuel
URNetd-0430104-123456
TitleTransaction costs and resampling in mean-variance portfolio optimization
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Domokos Vermes, Advisor
  • Keywords
  • Resampling
  • Portfolio Optimization
  • Transaction Costs
  • Mean-Variance Optimization
  • Date of Presentation/Defense2004-04-30
    Availability unrestricted

    Abstract

    Transaction costs and resampling are two important issues that need great attention in every portfolio investment planning. In practice costs are incurred to rebalance a portfolio. Every investor tries to find a way of avoiding high transaction cost as much as possible. In this thesis, we investigated how transaction costs and resampling affect portfolio investment.

    We modified the basic mean-variance optimization problem to include rebalancing costs we incur on transacting securities in the portfolio. We also reduce trading as much as possible by applying the resampling approach any time we rebalance our portfolio. Transaction costs are assumed to be a percentage of the amount of securities transacted. We applied the resampling approach and tracked the performance of portfolios over time, assuming transaction costs and then no transaction costs are incurred. We compared how the portfolio is affected when we incorporated the two issues outlined above to that of the basic mean-variance optimization.

    Files
  • AsumengDentehE.pdf
  • NTCSharpeFinal.out

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