Liu, Weiyang. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (p. 111-113). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction and Literature Review --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.1.1 --- Background and Motivating examples --- p.2 / Chapter 1.1.2 --- Basic Concepts --- p.4 / Chapter 1.1.3 --- Outline of the thesis --- p.6 / Chapter 1.2 --- Literature Review --- p.8 / Chapter 2 --- Multi-period Cooperative Re-investment Games: The Basic Model --- p.11 / Chapter 2.1 --- Basic settings and assumptions --- p.11 / Chapter 2.2 --- The problem --- p.13 / Chapter 3 --- Three sub-models and the allocation rule of Sub-Model III --- p.17 / Chapter 3.1 --- Three possible sub-models of the basic model --- p.17 / Chapter 3.1.1 --- Sub-model I --- p.17 / Chapter 3.1.2 --- Sub-model II --- p.18 / Chapter 3.1.3 --- Sub-model III --- p.19 / Chapter 3.2 --- The allocation rule of Sub-model III --- p.19 / Chapter 4 --- A two period example of the revised basic model --- p.25 / Chapter 4.1 --- The two period example with two projects --- p.25 / Chapter 4.2 --- The algorithm for the dual problem --- p.29 / Chapter 5 --- Extensions of the Basic Model --- p.35 / Chapter 5.1 --- The model with stochastic budgets --- p.36 / Chapter 5.2 --- The core of the model with stochastic budgets --- p.39 / Chapter 5.3 --- An example: the two-period case of models with stochastic bud- gets and an algorithm for the dual problem --- p.46 / Chapter 5.4 --- An interesting marginal effect --- p.52 / Chapter 5.5 --- "A Model with stochastic project prices, stochastic returns and stochastic budgets" --- p.54 / Chapter 6 --- Multi-period Re-investment Model with risks --- p.58 / Chapter 6.1 --- The Model with l1 risk measure --- p.58 / Chapter 6.2 --- The Model with risk measure --- p.66 / Chapter 7 --- Numerical Tests --- p.70 / Chapter 7.1 --- The affects from uncertainty changes --- p.71 / Chapter 7.2 --- The affects from budget changes --- p.71 / Chapter 7.3 --- The affects from the budget changes of only one group --- p.71 / Chapter 8 --- Conclusive Remarks --- p.77 / Chapter A --- Original Data and Analysis for Section 7.1 (Partial) --- p.79 / Chapter B --- Data Analysis for Section 7.2 (Partial) --- p.95 / Chapter C --- Data Analysis for Section 7.3 (Partial) --- p.98

Zhou, Ying. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 89-91). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Background --- p.1 / Chapter 1.2 --- Aims and objectives --- p.2 / Chapter 1.3 --- Outline of the thesis --- p.3 / Chapter 2 --- Literature Review --- p.6 / Chapter 2.1 --- Portfolio Optimization Problems --- p.6 / Chapter 2.2 --- Cooperative Games and Cooperative Investment Models --- p.8 / Chapter 2.2.1 --- Linear Production Games And Basic Concepts of Co- operative Game Theory --- p.9 / Chapter 2.2.2 --- Investment Models Using Linear Production Games --- p.12 / Chapter 3 --- Multi-period Cooperative Investment Games: Basic Model --- p.15 / Chapter 3.1 --- Cooperative Investment Game under Deterministic Case --- p.16 / Chapter 3.2 --- Cooperative Investment Game with Stochastic Return --- p.18 / Chapter 3.2.1 --- Basic Assumptions --- p.18 / Chapter 3.2.2 --- Choose the Proper Risk Measure --- p.20 / Chapter 3.2.3 --- One Period Case --- p.21 / Chapter 3.2.4 --- Multi-Period Case --- p.23 / Chapter 4 --- The Two-Period Investment Game under L∞ Risk Measure --- p.26 / Chapter 4.1 --- The Two Period Model --- p.26 / Chapter 4.2 --- The Algorithm --- p.35 / Chapter 4.3 --- Optimal Solution of the Dual --- p.41 / Chapter 5 --- Primal Solution and Stability of the Core under Two-Period Case --- p.43 / Chapter 5.1 --- Direct Results --- p.44 / Chapter 5.2 --- Find the Optimal Solutions of the Primal Problem --- p.46 / Chapter 5.3 --- Relationship between A and the Core --- p.53 / Chapter 5.3.1 --- Tracing out the efficient frontier --- p.54 / Chapter 6 --- Multi-Period Case --- p.63 / Chapter 6.1 --- Common Risk Price and the Negotiation Process with Concave Risk Utility --- p.64 / Chapter 6.1.1 --- Existence of Common Risk Price and Core --- p.65 / Chapter 6.1.2 --- Negotiation Process --- p.68 / Chapter 6.2 --- Modified Simplex Method --- p.71 / Chapter 7 --- Other Risk Measures --- p.76 / Chapter 7.1 --- The Downside Risk Measure --- p.76 / Chapter 7.1.1 --- Discrete (Finite Scenario) Distributions --- p.78 / Chapter 7.1.2 --- General Distributions --- p.81 / Chapter 7.2 --- Coherent Risk Measure and CVaR --- p.83 / Chapter 8 --- Conclusion and Future Work --- p.87

Sit, Tony. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 49-51). / Abstracts in English and Chinese. / Acknowledgement --- p.v / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background --- p.4 / Chapter 2.1 --- Approaches to Risk Measurement --- p.4 / Chapter 2.2 --- Is VaR a “Good´ح Risk Measure? --- p.9 / Chapter 2.3 --- "Efficient Capital Market, Random Walk and Unit Root" --- p.11 / Chapter 3 --- Historical VaR and Limitations --- p.17 / Chapter 3.1 --- Regression Analysis --- p.18 / Chapter 3.2 --- A Possible Artifact --- p.19 / Chapter 4 --- "Parametric VaR with GARCH(1,1)" --- p.27 / Chapter 4.1 --- "GARCH(1,1), a Conditional Heteroscedastic Model" --- p.27 / Chapter 4.2 --- RiskMctrics VaR --- p.29 / Chapter 5 --- VaR with Regression Quantiles --- p.34 / Chapter 5.1 --- Quantilc Regression --- p.35 / Chapter 5.1.1 --- "Quantiles, Ranks and Optimisation" --- p.35 / Chapter 5.2 --- CAViaR --- p.39 / Chapter 5.2.1 --- The model --- p.39 / Chapter 5.2.2 --- Empirical Studies --- p.42 / Chapter 6 --- Conclusion and Future Research --- p.46 / Bibliography --- p.48

Siu, Tsz Hang. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 59-61). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction and Literature Review --- p.1 / Chapter 2 --- Data and Methodology --- p.5 / Chapter 2.1 --- Portfolio Formation --- p.8 / Chapter 2.2 --- Delisting --- p.11 / Chapter 2.3 --- Rebalancing --- p.11 / Chapter 2.4 --- Performance Measurement --- p.12 / Chapter 3 --- Results --- p.16 / Chapter 3.1 --- Daily Portfolio Returns --- p.16 / Chapter 3.2 --- CAPM and Fama French Model --- p.18 / Chapter 3.3 --- Cumulative Returns --- p.22 / Chapter 3.4 --- Over Different Time Periods --- p.22 / Chapter 3.5 --- Analysis on Capital Market Theory --- p.24 / Chapter 3.6 --- Explanations --- p.27 / Chapter 3.6.1 --- Overconfidence --- p.27 / Chapter 3.6.2 --- Anchoring --- p.28 / Chapter 3.6.3 --- A Simple Model and Smoothing Effect --- p.29 / Chapter 3.6.4 --- Securities Selection --- p.32 / Chapter 3.6.5 --- Transaction Costs --- p.32 / Chapter 4 --- Conclusions --- p.33 / Chapter A --- Proof --- p.36 / Chapter B --- Tables and Figures --- p.40 / Bibliography --- p.59

El sector construcción en la región Arequipa se encuentra en expansión. Un PBI sectorial que creció un 11.3% en los últimos diez años, aunado a un déficit de más de 89 mil viviendas, representan una oportunidad de crecimiento para las empresas del sector. Constructora Arequipa S.A., que se encuentra en plena expansión de sus operaciones de construcción, ve la necesidad de mejorar sus costos de operación, sin sacrificar sus eficiencias de gestión. Se ha identificado la provisión del concreto pre mezclado como una actividad crítica a mejorar, dado el sobrecosto por su adquisición a terceros, así como la falta de control que genera la dependencia hacia estos. Para ello, se propone la adquisición de dos máquinas para la producción de concreto: una auto hormigonera Carmix, destinada a obras a nivel de piso; y una planta de concreto Blend, que permitirá abastecer a las obras de pisos superiores. El proyecto incluye la contratación y capacitación del personal operador, así como programas de mantenimiento que garanticen su operatividad. Este proyecto será beneficioso: se reducirán los costos unitarios del concreto a nivel de piso y pisos superiores de 9.32% y 13.22%, respectivamente; se obtendrán ahorros a valor presente de S/ 496,317 en cinco años; se recuperará la inversión en el segundo año; y finalmente, se mejorarán los márgenes brutos y netos en un 10.43% y 20.82% en el primer año. Finalmente, se recomienda el monitoreo riguroso de la operación y sus costos, a fin de tomar las medidas correctivas oportunamente. / The construction sector in the Arequipa region is expanding. A sectorial GDP that grew 11.3% in the last ten years, together with a deficit of more than 89,000 houses, represent a growth opportunity for the companies in the sector. Constructora Arequipa S.A., which is in full expansion of its construction operations, sees the need to improve its operating costs, without sacrificing its management efficiencies. The provision of pre-mixed concrete has been identified as a critical activity to be improved, given the additional cost of its acquisition from third parties, as well as the lack of control generated by the dependence on them. For this purpose, it is proposed to acquire two machines for concrete production: a Carmix auto concrete mixer, intended for works at floor level, and a Blend concrete plant, which will supply concrete at upper floor level operations. The project includes the hiring and training of the operating personnel, as well as maintenance programs that guarantee its operability. This project will be beneficial: the unit costs of concrete at floor level and upper floors will be reduced by 9.32% and 13.22%, respectively; savings will be obtained at present value of S/. 496,317 in five years; the investment will be recovered in the second year; and finally, the gross and net margins will be improved by 10.43% and 20.82% in the first year, respectively. Finally, rigorous monitoring of the operation and its costs is recommended in order to take timely corrective measures. / Tesis

[pt] A abertura de capital (IPO) é um bom indicador da performance da economia. Mostra que as empresas estão tendo um bom resultado e que os investidores estão com mais confiança na economia. A atividade de IPO tem aumentado significativamente nos últimos anos mostrando uma maior confiança na economia, apesar de alguns mercados continuarem vulneráveis. Este trabalho tem por objetivo final apresentar as melhores práticas de avaliação de investimentos para empresas brasileiras de capital fechado e, portanto, oferecer às comunidades acadêmica e corporativa um serviço público - uma referência prática, através da avaliação da ALL - América Latina Logística. Busca-se, comparar o preço avaliado com o preço ofertado, verificando se o preço foi subavaliado e, ainda, comparar a performance da ação no primeiro dia de negociação com as empresas de outros setores. / [en] The initial public offering (IPO) is a good indicator of the economy situation. It reflects the strong performance of the companies and also the confidence of investors in the economy. The IPO activity has increased over the last years showing growth in confidence even when some markets are still vulnerable. The objective of this research is to present the practices in estimating the value of a private company, besides, it intends to provide a practical and ready-to-use tool to the academic and corporate communities, through the valuation of ALL - América Latina Logística. It aims as well to compare the stock price on its first traded day with the valuation pricing of ALL - América Latina Logística, to verify its fairness, and with other companies in different sectors.

As the relative capital value of major real estate investment grows, and investment risk continues to centralise, the requirement to diversify this risk through shared ownership has increased. This international trend toward increased co-ownership has been manifested in cross border collaborations and, with this sharing of risks has come the dilemma of preserving the operational integrity of these assets and the capital value of the fractional interests created. This thesis considers the process of valuation of fractional interests, examining the methods employed in both the real estate and securities investment communities, and it identifies the shortcomings of the current unstructured approach to the problem. It reveals the impact of improperly structured agreements between co-owners on the value of their interests and illustrates the enormity of this in terms of the Australian publicly traded real estate securities sector. This thesis concludes that the current deficiencies in fractional interest valuation methodologies can be effectively addressed through the adoption, by professional real estate valuers, of a common approach to the investigation of the factors influencing the value of fractional interests and the terms of agreements which underlie these interests / Doctor of Philosophy (PhD)

"July 1982." Bibliography: leaves 177-186. Examines the performance and policies of the Composite Fund of the University of Adelaide. Using performance measures suggested by modern portfolio theory which take explicit account of risk. Results show slight superior performance 1978-1982. Examines efficiency of Australian share market and the consequences for investment strategy. Suggests a variety of policy measures as alternatives for the Fund and emphasizes the benefits of using analytical techniques and empirical investigation in the areas of investment policy, performance measurement and monitoring of risk.

This thesis is based on the analysis of all rural property sales transactions that occurred in NSW over the period 1990-2000 and is the first complete state wide analysis of a rural property market in Australia. Previous studies on rural land performance have been restricted in both limited time periods and limited location areas. The importance of rural property, as an investment asset has been recognised in the US and UK with both countries having a rural property performance index. These indices are similar in construction, quality and reliability as the commercial property, residential property and share market indices that are also available in these countries to analyse the performance of these investment assets. Until the development of the rural property capital and total return indices in this thesis, there has never been a comprehensive and complete set of rural property investment indices available to assess the risk/return performance and investment portfolio benefits of rural property in Australia. The actual construction of the indices in this thesis have been based on the current indices produced by the Property Council of Australia for office, retail, industrial and hotel property in Australia. Based on the work in this thesis, rural property investment performance can now be compared to all major investment assets available in Australia. This research will be ongoing to ensure that the performance of rural property will be available on a semi-annual basis for use by all institutions, companies and individuals with an interest in the investment potential of rural property in Australia / Doctor of Philosophy (PhD)

The aim of this thesis is to study multi-asset barrier options, where the volatilities of the stocks are assumed to define a matrix-valued bounded stochastic process. The bounds on volatilities may represent, for instance, the extreme values of the volatilities of traded options. As the volatilities are not known exactly, the value of the option can not be determined. Nevertheless, it is possible to calculate extreme values. We show that these values correspond to the best and the worst case scenarios of the future volatilities for short positions and long positions in the portfolio of the options. Our main tool is the equivalence of the option pricing and a certain stochastic control problem and the resulting concept of superhedging. This concept has been well known for some time but never applied to barrier options. First, we prove the dynamic programming principle (DPP) for the control problem. Next, using rather standard arguments we derive the Hamilton-Jacobi-Bellman equation for the value function. We show that the value function is a unique viscosity solution of the Hamilton-Jacobi-Bellman equation. Then we define the super price and superhedging strategy for the barrier options and show equivalence with the control problem studied above. The superprice price can be found by solving the nonlinear Hamilton-Jacobi-Equation studied above. It is called sometimes the Black-Scholes-Barenblatt (BSB) equation. This is the Hamilton-Jacobi-Bellman equation of the exit control problem. The sup term in the BSB equation is determined dynamically: it is either the upper bound or the lower bound of the volatility matrix, according to the convexity or concavity of the value function with respect to the stock prices. By utilizing a probabilistic approach, we show that the value function of the exit control problem is continuous. Then, we also obtain bounds for the first derivative of the value function with respect to the space variable. This derivative has an important financial interpretation. Namely, it allows us to define the superhedging strategy. We include an example: pricing and hedging of a single-asset barrier option and its numerical solution using the finite difference method.