传统的风险控制以终端财富的各阶中心矩作为风险度量，而现在越来越多的投资模型转向以不对称的在某个特定临界值的下行风险作为风险度量。在现有的下行风险中，安全第一准则，风险价值，条件风险价值，下偏矩可能是最有活力的代表。在这篇博士论文中，在已有的静态文献之上，我们讨论了以安全第一准则，风险价值，条件风险价值，下偏矩为风险度量的一系列动态投资组合问题。我们的贡献在于两个方面，一个是建立了可以被解析求解的模型，另一个是得到了最优的投资策略。在终端财富上加上一个上界，使得我们克服了一类下行风险投资组合问题的不适定性。引入的上界不仅仅使得我们的下行风险下的投资组合问题能得到显式解，而且也让我们可以控制下行风险投资组合问题的最优投资的冒险性。用分位数法和鞅方法，我们能够得到上述的各种模型的解析解。在一定的市场条件下，我们得到了对应的拉格朗日问题的乘子的存在性和唯一性, 这也是对应的鞅方法中的核心步骤。更进一步，当市场投资组合集是确定性的时候，我们推出解析的最优财富过程和最优投资策略。 / Instead of controlling "symmetric" risks measured by central moments of terminal wealth, more and more portfolio models have shifted their focus to manage "asymmetric" downside risks that the investment return is below certain threshold. Among the existing downside risk measures, the safety-first principle, the value-at-risk (VaR), the conditional value-at-risk (CVaR) and the lower-partial moments (LPM) are probably the most promising representatives. / In this dissertation, we investigate a general class of dynamic mean-downside risk portfolio selection formulations, including the mean-exceeding probability portfolio selection formulation, the dynamic mean-VaR portfolio selection formulation, the dynamic mean-LPM portfolio selection formulation and the dynamic mean-CVaR portfolio selection formulation in continuous-time, while the current literature has only witnessed their static versions. Our contributions are two-fold, in both building up tractable formulations and deriving corresponding optimal policies. By imposing a limit funding level on the terminal wealth, we conquer the ill-posedness exhibited in the class of mean-downside risk portfolio models. The limit funding level not only enables us to solve dynamic mean-downside risk portfolio optimization problems, but also offers a flexibility to tame the aggressiveness of the portfolio policies generated from the mean-downside risk optimization models. Using quantile method and martingale approach, we derive optimal solutions for all the above mentioned mean-downside risk models. More specifically, for a general market setting, we prove the existence and uniqueness of the Lagrangian multiplies, which is a key step in applying the martingale approach, and establish a theoretical foundation for developing efficient numerical solution approaches. Furthermore, for situations where the opportunity set of the market setting is deterministic, we derive analytical portfolio policies. / Detailed summary in vernacular field only. / Zhou, Ke. / Thesis (Ph.D.) Chinese University of Hong Kong, 2014. / Includes bibliographical references (leaves i-vi). / Abstracts also in Chinese.

by Kwok Yiu Keung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 102-109). / ACKNOWLEDGMENTS --- p.i / ABSTRACT --- p.iii / LISTS OF FIGURES --- p.vii / LISTS OF TABLES --- p.viii / Chapter Chapter 1: --- INTRODUCTION --- p.1 / Chapter Chapter 2: --- LITERATURE REVIEW --- p.3 / Need for and Relevance of Research on Proposed Topic --- p.3 / Significance of this Research --- p.3 / Different Views of Sales Performance --- p.4 / Situation Approach --- p.5 / Attitudinal Approach --- p.6 / Modeled Instruction Approach --- p.7 / Antecedents and Consequences of Salesperson's Sales Performance --- p.8 / Antecedents of Sales Performance --- p.9 / Consequences of Sales Performance --- p.13 / Antecedents and Consequences of Sales Performance --- p.23 / Summary --- p.26 / Chapter Chapter 3: --- THE PROPOSED MODEL AND RESEARCH HYPOTHESES --- p.27 / A Model of Sales Performance of Salesperson --- p.27 / Conceptualization and Hypotheses --- p.30 / Summary --- p.38 / Chapter Chapter 4: --- RESEARCH METHODOLOGY --- p.39 / Measurement Scales --- p.39 / Data Collection --- p.41 / Reliability --- p.43 / Analysis of the Model --- p.45 / Structural Equation Modeling --- p.45 / The Measurement Model --- p.45 / Model Notations --- p.49 / Summary --- p.50 / Chapter Chapter 5: --- RESULTS FROM THE ANALYSIS --- p.51 / Scale Analysis --- p.51 / Reliability --- p.56 / Structural Equation Modeling --- p.57 / Full Model Evaluation --- p.57 / Reduced Model Evaluation --- p.59 / Summary --- p.65 / Chapter Chapter 6: --- DISCUSSION AND CONCLUSION --- p.66 / Major Findings --- p.66 / Sales Performance and Its Antecedents --- p.66 / Sales Performance and Its Consequences --- p.68 / Contributions of the Research --- p.69 / Conceptual Contribution --- p.69 / Managerial Contribution --- p.69 / Limitations --- p.75 / Directions for Future Research --- p.75 / Extension of the Conceptual Model --- p.75 / Sample Quality --- p.76 / Methodology and Measurement --- p.77 / APPENDIX 1: Cross Cultural Translation --- p.78 / APPENDIX 2: English and Chinese Versions of Questionnaire --- p.86 / APPENDIX 3: Companies Participated in the Survey --- p.100 / APPENDIX 4: Description of Sample --- p.101 / REFERENCES --- p.102

Zhou Xiaozhou. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 58-59). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Overview --- p.1 / Chapter 1.2 --- Organization Outline --- p.4 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- Option --- p.5 / Chapter 2.1.1 --- The definition of option --- p.5 / Chapter 2.1.2 --- Payoff of Options --- p.6 / Chapter 2.1.3 --- Black-Scholes Option Pricing Model --- p.7 / Chapter 2.1.4 --- Binomial Model --- p.12 / Chapter 2.2 --- Portfolio Theory --- p.15 / Chapter 2.2.1 --- The Markowitz Mean-Variance Model --- p.15 / Chapter 2.2.2 --- Multi-period Mean-Variance Formulation --- p.17 / Chapter 3 --- Multi-Period Options Portfolio Selection Model with Guaran- teed Return --- p.20 / Chapter 3.1 --- Problem Formulation --- p.20 / Chapter 3.2 --- Solution Algorithm Using Dynamic Programming --- p.25 / Chapter 3.3 --- Numerical Example --- p.27 / Chapter 4 --- Mean-Variance Formulation of Options Portfolio --- p.36 / Chapter 4.1 --- The Problem Formulation --- p.36 / Chapter 4.2 --- Solution Algorithm Using Dynamic Programming --- p.39 / Chapter 4.3 --- Numerical Example --- p.41 / Chapter 5 --- Summary --- p.56

Li, Rui. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 69-71). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Portfolio Selection Models --- p.1 / Chapter 1.1.1 --- Single Period Models --- p.2 / Chapter 1.1.2 --- Multi-Period Models --- p.4 / Chapter 1.1.3 --- Continuous-Time Model --- p.5 / Chapter 1.2 --- Description and Motivation of New Model --- p.6 / Chapter 1.3 --- Major Contributions --- p.7 / Chapter 1.4 --- Thesis Organization --- p.8 / Chapter 2 --- Formulation and General Methodology --- p.9 / Chapter 2.1 --- Formulation --- p.9 / Chapter 2.1.1 --- Dynamics --- p.10 / Chapter 2.1.2 --- General Form --- p.13 / Chapter 2.1.3 --- Assumptions --- p.13 / Chapter 2.2 --- Methodology --- p.15 / Chapter 2.2.1 --- Weighting Problem --- p.15 / Chapter 2.2.2 --- Search For Optimal Weighting Coefficient --- p.19 / Chapter 3 --- Model I: A Trade-off Between Risk and Return Is Given --- p.22 / Chapter 3.1 --- Problem Formulation --- p.22 / Chapter 3.2 --- Solution to the Parameterized Weighting Problem (PWP(γ)) --- p.23 / Chapter 3.2.1 --- "Construction of the Auxiliary Problem A(γ, λ)" --- p.24 / Chapter 3.2.2 --- Discussion on Parameter A --- p.29 / Chapter 3.3 --- Algorithm --- p.39 / Chapter 4 --- Model II: Expected Return Level Is Specified --- p.42 / Chapter 4.1 --- Problem Formulation --- p.42 / Chapter 4.2 --- Optimal Max-Min Solution --- p.44 / Chapter 4.3 --- Discussion on Parameter λ --- p.50 / Chapter 4.4 --- Algorithm --- p.55 / Chapter 5 --- Numerical Examples --- p.58 / Chapter 6 --- Conclusions --- p.67 / Bibliography --- p.71

Pacific whiting (Merluccius productus) is commercially and ecologically one of the most important fishery resources in the Pacific coast of the United States. The fishery is currently going through a period of rapid and profound transformation that could cause a substantial redistribution of benefits among domestic users. Benefits from the Pacific whiting fishery consist of conflicting biological, social, economic and regional objectives. A major management issue is the problem of resource allocation between the domestic offshore and shore-based fleets. Economic analysis of fishery policy based on the single objective of maximizing present value of net revenues (PVNR) fails to realistically confront the Pacific whiting fishery management problem. This work proposes the use of the less restrictive concept of Pareto optimality as a criterion for efficiency in the fishery. The main objective of this dissertation is to develop a multiobjective bioeconomic policy model of the Pacific whiting fishery in the United States. The purpose of the model is to analyze the implications (trade-offs) of resource allocation alternatives on the level of three policy objectives PVNR, production, and female spawning biomass. Pareto optimal solutions for the three policy objectives were generated under various specifications of the model by means of generating techniques. Three policy instruments were considered: harvest quotas, fleet/processing capacity limits, and allocation between the shore-based and offshore fisheries. Results were presented in the form of trade-off curves. The analysis suggests that policy objectives in the case of Pacific whiting are non-complementary. Instead of a unique "optimal" policy solution the Pacific whiting fishery policy problem possesses an infinite number of [Pareto] "optimal" policy solutions. The principal characteristic of Pareto optimal solutions is that in moving from one to another, the objectives must be traded-off among each other. In spite of the uncertainties regarding the dynamics of the Pacific whiting fishery, the preliminary nature of the data and the simplistic specification of the model, the analysis in this work demonstrates the potential benefits of vector optimization for fishery policy development and analysis. / Graduation date: 1993

The Production Switching Heuristic (PSH) developed by Mellichamp and Love (1978) has been suggested as a more realistic, practical and intuitively appealing approach to aggregate production planning (APP). In this research, PSH has been modified to present a more sophisticated open grid search procedure for solving the APP problem. The effectiveness of this approach has been demonstrated by determining a better near-optimal solution to the classic paint factory problem using a personal computer based application written in THINK PASCAL. The performance of the modified production switching heuristic is then compared in the context of the paint factory problem with results obtained by other prominent APP models including LDR, PPP, and PSH to conclude that the modified PSH offers a better minimum cost solution than the original PSH model. / Graduation date: 1992

published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy

The profitability of a manufacturer could be largely affected by underlying uncertainties embedded in the fast-changing business environment. Random factors, such as input material price at the procurement end or output product price and demand at the sales end, might produce significant risks. Effective financial hedging therefore needs to be taken to mitigate these risk exposures. Although it is common to use commodity futures to control the risks at either end separately, little has been done on the hedging of these risk exposures in an integrated manner. Therefore, this study aims to develop a planning approach that performs financial hedging on both the procurement risk and the sales risk in a joint manner. This planning approach is based on a framework that has a risk-averse commodity processor that procures input commodity and sells output commodity in the spot market, while hedging the procurement risk and sales risk through trading futures contracts in the commodity markets. Both the input and output commodities futures are used for the hedging. A both-end-hedging model is developed to quantitatively evaluate the approach. The evaluation is based on an objective function that considers both profit maximisation and risk mitigation. Decisions on spot procurement, input futures hedging position, and output futures hedging position are optimised simultaneously. As the input commodity is the main production material for the output commodity, positive correlation between the input material price and the output product price is considered. The customer demand is considered negatively correlated with the output product price. An ethanol plant using corn as the main input material is employed as an example to implement the proposed model. The model is represented as a stochastic program, and the Gibson-Schwartz two-factor model is employed to describe the stochastic commodity prices. Historical commodity price data are used to estimate the parameters for the two-factor model with state-space form and Kalman filter. By generating various scenarios representing evolving prices and the random customer demand, the stochastic program could be solved using linear programming algorithms under its deterministic equivalent. Numerical experiments are carried out to demonstrate the benefit that could be gained from applying the both-end-hedging approach proposed in this study. Comparing with traditional no-hedging model or single-end-hedging models, the improvement obtained from the proposed model is found to be significant. The effectiveness of the model is further tested in various price trend and price correlation, demand elasticity and volatility, and risk attitude of the decision maker. It is found that the proposed approach is robust in these various circumstances, and the approach is especially effective when the price trend is uncertain and when the decision maker has a strong risk-averse attitude. / published_or_final_version / Industrial and Manufacturing Systems Engineering / Master / Master of Philosophy

Superelevation transition is often used to help balance the centrifugal forces on vehicles through curved roadway sections. Such transitions have regions with near-zero cross-slope as the pavement cross-section rotates from a negative to positive grade. For drainage of roadway surfaces, regions with near-zero slope constitute 'irregular topography'. This condition promotes extended stormwater runoff drainage path lengths and may result in excessive splash from vehicles and hydroplaning. A critical concern is the effect of longitudinal slope on stormwater drainage through superelevation transition. The overall goal of this study is to provide design guidance on longitudinal slope at superelevation transitions through application of a numerical simulation model of highway drainage. Sheet flow on urban pavement surfaces is very shallow, typically measuring a depth less than one centimeter. For modeling of such flow conditions, any small discontinuity or over-simplification of the surface geometry may result in failure in the flow computation. The kinematic wave approximation to the full Saint-Venant equations is often used in many surface and subsurface water models due to its simplicity in application. However, this model fails when backwater effects, ponding, or flow on reverse slope occurs in the local scale. Furthermore, due to the complexity in the surface geometry and the existence of drainage systems, the kinematic wave model is not sufficient for modeling urban stormwater runoff. On the other hand, the full dynamic wave (DW) model usually requires more computational effort. The long computation time of DW model often compromises the accuracy of the model, making the model practically inefficient. In this study, an algorithm was developed to properly represent the irregularly shaped roadway surfaces near superelevation transition areas with unevenly spaced curvilinear grids based on the geometry profile provided by a roadway design software package such as MicroStation CAD. With this accurately defined geometric representation, a nonlinear hydrodynamic diffusion wave model for hydraulic analysis developed in this research estimates the flow depth and runoff volume on the pavement surfaces. The model computes the flow responses for rising hydrographs using a preconditioned general Conjugate Gradient method. Kinematic boundary conditions developed for the open boundaries at the upstream and downstream boundaries compute the boundary values explicitly at each time step. The result of a numerical experiment shows that the spread and concentration of sheet flow is closely related to the transition in cross slope, longitudinal slope, rainfall intensity, and the width of the road. The characteristics of the sheet flow on superelevation transition areas are analyzed to find the optimal longitudinal slope. It is found that the longitudinal slope in the range of 0.3%-0.4% is the optimal slope at superelevation transition areas which minimizes the depth of stormwater runoff. An example application of the model on a rural highway in Texas is also presented. It is found that a significant amount of stormwater may exist on traffic lanes at the superelevation transitions tested. The predicted ponding depth exceeds the minimum value for potential hydroplaning, and the pattern of the flow concentration may cause differential drag forces on traffic vehicles. / text

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