Ng, Hon Yip. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (p. 79-83). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Basic Concepts in Portfolio Theory --- p.8 / Chapter 2.1 --- Statistical Model --- p.8 / Chapter 2.2 --- Mean-Variance Optimization --- p.9 / Chapter 2.3 --- The Efficient Frontier --- p.11 / Chapter 2.4 --- The Tangency Portfolio and The Capital Market Line --- p.13 / Chapter 2.5 --- Mathematical Formulation of Portfolio Optimization --- p.17 / Chapter 3 --- Derivation of The Improved Estimator --- p.29 / Chapter 4 --- Simulation Study --- p.40 / Chapter 4.1 --- Procedure of Simulation --- p.40 / Chapter 4.2 --- Simulation Results --- p.46 / Chapter 4.2.1 --- Zero Correlation --- p.47 / Chapter 4.2.2 --- Positive Correlations --- p.50 / Chapter 4.2.3 --- Negative Correlations --- p.52 / Chapter 5 --- Conclusion and Future Direction --- p.56 / Chapter A --- Simulation results for p = 200 --- p.58 / Chapter B --- Simulation results for p = 400 --- p.61 / Chapter C --- Simulation results for p = 500 --- p.64 / Chapter D --- Simulation results for p = 200 with negative correlations --- p.67 / Chapter E --- Simulation results for p = 400 with negative correlations --- p.71 / Chapter F --- Simulation results for p = 500 with negative correlations --- p.75 / Bibliography --- p.79