Optimal Portfolio Selection Of Friction Market Udner Liability

In this thesis we deal with the optimal portfolio selection of friction market under liability. Firstly, we use minimax method to establish two-period mean-variance models with tax, dividend and transaction costs under liability, and get analytically expressions of optimal portfolios and efficient frontiers for these models. We also discuss a selection method of parameter for this model. Secondly, in the case of no short sales of assets, we derive some properties of optimal solution, and give an efficient algorithm of seeking optimal solution for a particular case in which the covariance matrix is diagonal and an illustrative instance. Lastly, we discuss probability criterion in optimal portfolio selection problem, and derive a necessary condition of the optimal solution.