Investors often update their portfolios at regular time intervals by trading stocks, but there are costs associated with these trades. This project seeks to limit these transaction costs by controlling the portfolio turnover (absolute change as a fraction of book size) between time periods. The result is a multiperiod optimization problem with quadratic objective function and non-smooth constraints. The resulting portfolios outperformed benchmark portfolios in both expected utility and actual portfolio value.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Clark, Jessica M.
• Mulready, Sean E.

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-042707-112035

Award

• Provost's MQP Award

Advisor

• Heinricher, Arthur C.

Year

• 2007

Date created

• 2007-04-27

Resource type

• Major Qualifying Project

Major

• Mathematical Sciences

Rights statement

• In Copyright

Última modificación

• 2023-01-20