An Analysis of the Impact of Liquidity Constraints on Optimal Portfolio Change: Study on Investment Diversification Strategies
- Author
- Union Priscilla Matimba
- Title
- An Analysis of the Impact of Liquidity Constraints on Optimal Portfolio Change: Study on Investment Diversification Strategies
- Abstract
- This study investigates the impact of liquidity constraints on optimal portfolio change and dynamic portfolio rebalancing using Monte Carlo simulation and stochastic optimization. The research develops a robust framework for analyzing the effects of liquidity constraints on portfolio optimization and rebalancing, and demonstrates the significance of considering liquidity constraints in portfolio management. The findings show that liquidity constraints can significantly affect portfolio performance and risk, and that optimizing portfolios under liquidity constraints can lead to improved outcomes. The study contributes to the existing literature on portfolio optimization and liquidity constraints, and provides insights for investors, portfolio managers, and financial institutions.
- Date
- June 2024
- Publisher
- BUSE
- Keywords
- Liquidity
- Optimal Portfolio
- Change
- Supervisor
- Dr M Magodora
