Dynamic Portfolio Optimization

Yuan, Lei
2021-06
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Dynamic Portfolio Optimization

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2021-06

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The problem of portfolio optimization has attracted broad attention from the academia and financial industry. In this thesis, we will explore a variety of mathematical models related to portfolio optimization. We will derive equations that describe price dynamics of risky assets, and study portfolio optimization problems based on these equations.

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University of Minnesota Ph.D. dissertation.June 2021. Major: Mathematics. Advisors: Fadil Santosa, Daniel Mitchell. 1 computer file (PDF); vi, 93 pages.

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Yuan, Lei. (2021). Dynamic Portfolio Optimization. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/224641.

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