Title page for ETD etd-0430104-123456

Document Type	thesis
Author Name	Asumeng-Denteh, Emmanuel
URN	etd-0430104-123456
Title	Transaction costs and resampling in mean-variance portfolio optimization
Degree	MS
Department	Mathematical Sciences
Advisors	Domokos Vermes, Advisor
Keywords	Resampling Portfolio Optimization Transaction Costs Mean-Variance Optimization
Date of Presentation/Defense	2004-04-30
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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