Monash University
Thesis_final.pdf (6.46 MB)
Download file

Probabilistic Numerical Methods and Target-Based Investment Strategies for Dynamic Portfolio Optimization

Download (6.46 MB)
posted on 2018-05-21, 21:34 authored by RONGJU ZHANG
This thesis develops a numerical approximation method for how to invest in, and how to dynamically adjust the capital allocation to different classes of financial assets, in the presence of realistic trading features such as transaction costs and liquidity effects. A family of novel investment strategies is developed. These strategies aim to track a specified investment target which can be labelled in terms of absolute return, relative return, realized volatility, maximum drawdown and any other risks and uncertain variables that may draw concerns to investors.


Campus location


Principal supervisor

Fima Klebaner

Additional supervisor 1

Kais Hamza

Additional supervisor 2

Zili Zhu

Additional supervisor 3

Nicolas Langrene

Year of Award


Department, School or Centre

Mathematical Sciences

Additional Institution or Organisation

Commonwealth Scientific and Industrial Research Organization

Additional supervisor 4

Yu Tian


Doctor of Philosophy

Degree Type



Faculty of Science