The first essay examines the joint determination of the contract for a private equity (PE) fund manager and the equilibrium risk premium of the PE fund. My model relies on two realistic features of PE funds. First, I model agency frictions between PE fund's investors and manager. Second, I model the illiquidity of PE fund investments. To alleviate agency frictions, compensation to the manager becomes sensitive to the PE fund performance, which makes investors excessively hold the PE fund to hedge the manager's fees. This induces a negative effect on the risk premium in equilibrium. For the second feature, I add search frictions in the secondary market for PE fund's shares. PE fund returns also contain a positive illiquidity premium since investors internalize the possibility of holding sub-optimal positions in the PE fund. Thus, my model delivers a plausible explanation for the inconclusive findings of the empirical literature regarding PE funds' performance. Agency conflicts deliver a lower risk-adjusted performance of PE funds, while illiquidity risk can raise it. In the second essay, coauthored with Andrew Ang and Pierre Collin-Dufresne, we investigate how often investors should adjust asset class allocation targets when returns are predictable and updating allocation targets is costly. We compute optimal tactical asset allocation (TAA) policies over equities and bonds. By varying how often the weights are reset, we estimate the utility costs of different frequencies of TAA decisions relative to the continuous optimal Merton (1971) policy. We find that the utility cost of infrequent switching is minimized when the investor updates the target portfolio weights annually. Tactical tilts taking advantage of predictable stock returns generate approximately twice as much value as those market-timing bond returns. In the third essay, also coauthored with Andrew Ang and Pierre Collin-Dufresne, we revisit the question of a pension sponsor's optimal asset allocation in the presence of a downside constraint and the possibility for the pension sponsor to contribute money to the pension plan. We analyze the joint problem of optimal investing and contribution decisions, when there is disutility associated with contributions. Interestingly, we find that the optimal portfolio decision often looks like a ``risky gambling" strategy where the pension sponsor increases the pension plan's allocation to risky assets in bad states. This is very different from the traditional prediction, where in economy downturns the pension sponsor should fully switch to the risk-free portfolio. Our solution method involves a separation of the pension sponsor's problem into a utility maximization problem and a disutility minimization one.

Ng Chi-Tim. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 110-114). / Abstracts in English and Chinese. / Chapter Chapter 1 --- Introduction --- p.4 / Chapter Chapter 2 --- Mathematical Background --- p.7 / Chapter 2.1 --- Fractional Stochastic Integral --- p.8 / Chapter 2.2 --- Wick's Calculus --- p.9 / Chapter 2.3 --- Malliavin Calculus --- p.19 / Chapter 2.4 --- Fractional Ito's Lemma --- p.27 / Chapter Chapter 3 --- The Fractional Black Scholes Model --- p.34 / Chapter 3.1 --- Fractional Geometric Brownian Motion --- p.35 / Chapter 3.2 --- Arbitrage Opportunities --- p.38 / Chapter 3.3 --- Fractional Black Scholes Equation --- p.40 / Chapter Chapter 4 --- Generalization --- p.43 / Chapter 4.1 --- Stochastic Gradients of Fractional Diffusion Processes --- p.44 / Chapter 4.2 --- An Example : Fractional Black Scholes Mdel with Varying Trend and Volatility --- p.46 / Chapter 4.3 --- Generalization of Fractional Black Scholes PDE --- p.48 / Chapter 4.4 --- Option Pricing Problem for Fractional Black Scholes Model with Varying Trend and Volatility --- p.55 / Chapter Chapter 5 --- Alternative Fractional Models --- p.59 / Chapter 5.1 --- Fractional Constant Elasticity Volatility (CEV) Models --- p.60 / Chapter 5.2 --- Pricing an European Call Option --- p.61 / Chapter Chapter 6 --- Problems in Fractional Models --- p.66 / Chapter Chapter 7 --- Arbitrage Opportunities --- p.68 / Chapter 7.1 --- Two Equivalent Expressions for Geometric Brownian Motions --- p.69 / Chapter 7.2 --- Self-financing Strategies --- p.70 / Chapter Chapter 8 --- Conclusions --- p.72 / Chapter Appendix A --- Fractional Stochastic Integral for Deterministic Integrand --- p.75 / Chapter A.1 --- Mapping from Inner-Product Space to a Set of Random Variables --- p.76 / Chapter A.2 --- Fractional Calculus --- p.77 / Chapter A.3 --- Spaces for Deterministic Functions --- p.79 / Chapter Appendix B --- Three Approaches of Stochastic Integration --- p.82 / Chapter B.1 --- S-Transformation Approach --- p.84 / Chapter B.2 --- Relationship between Three Types of Stochastic Integral --- p.89 / Reference --- p.90

Chen Haiqiang. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 33-35). / Abstracts in English and Chinese. / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- The Model --- p.4 / Chapter 3. --- Least Squares Estimations --- p.6 / Chapter 4. --- Inference --- p.7 / Chapter 4.1 --- Asymptotic Joint Distribution of the Threshold Estimators --- p.7 / Chapter 4.2 --- Testing Threshold Effect: Model Selection Followed by Testing --- p.13 / Chapter 5. --- Modeling --- p.16 / Chapter 5.1 --- Generic Consistency of the Threshold Estimators under specification errors --- p.17 / Chapter 5.2 --- Modeling Procedure --- p.20 / Chapter 6. --- Monte Carlo Simulations --- p.21 / Chapter 7. --- Empirical Application in the Financial Market --- p.24 / Chapter 7.1 --- Data Description --- p.26 / Chapter 7.2 --- Estimated Results --- p.26 / Chapter 8. --- Conclusion --- p.30 / References --- p.33 / Appendix 1: Proof of theorem1 --- p.36 / Appendix 2: Proof of theorem2 --- p.39 / Appendix 3: Proof of theorem3 --- p.43 / List of Graph --- p.49

巨災權益賣權(CatEPut option) 是種常見的與風險掛鉤的證券(risk-linked security) ，它經常被用來對沖巨災風險，在這篇文章中，我們在隨機利息率和隨機波動率的條件下對巨災權益實權進行定價。我們使用了高維傅利葉變換的方法來進行定價，并得到了巨災權益賈權價格的顯式表達，數據實驗的結果顯示，我們的定價公式和方法是高效和精確的。此外，我們還發現隨機利息率和隨機波動率對巨災權益賣權的價格有很大影響。 / The catastrophic equity put (CatEPut) options which serve as a kind of risklinked securities are quite popular in hedging catastrophic risk. In this thesis, the CatEPut options are priced with the stochastic interest rate and stochastic volatility (SISV). We use a two-dimensional Fourier transform over the log price and the catastrophic loss to derive the closed-form CatEPut option price. The numerical examples show that our pricing formula and method are efficient and accurate. We also find that the price of the CatEPut options are greatly in uenced by the stochastic volatility and stochastic interest rate. / Detailed summary in vernacular field only. / Li, Yiran. / "September 2012." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 54-55). / Abstracts also in Chinese. / Abstract --- p.i / Abstract in Chinese --- p.ii / Acknowledgements --- p.iii / Contents --- p.v / List of Tables --- p.vii / List of Figures --- p.viii / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- The model --- p.5 / Chapter 2.1. --- The model of CatEPut options under risk-neutral measure --- p.5 / Chapter 2.2. --- Change to the forward measure --- p.7 / Chapter 3. --- Pricing CatEPut using “conditioning on the catastrophic lossmethod --- p.10 / Chapter 4. --- Pricing CatEPut using Fourier transform --- p.15 / Chapter 5. --- Numerical experiments --- p.26 / Chapter 5.1 --- The FFT algorithm --- p.26 / Chapter 5.2 --- The impact of the stochastic interest rate and the stochastic volatility --- p.27 / Chapter 5.3 --- The advantage of the Fourier transform method --- p.36 / Chapter 6. --- Conclusions --- p.41 / Chapter A. --- Measure change to risk neutral measure Q --- p.43 / Chapter B. --- Proof of integrability --- p.48 / Bibliography --- p.53

Leung, Kwan Fong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 63-66). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.10 / Chapter 1.1 --- Motivation and Overview --- p.10 / Chapter 1.2 --- Thesis Outline --- p.13 / Chapter 2 --- Problem Formulation --- p.15 / Chapter 2.1 --- Basic Wireless Market Model --- p.15 / Chapter 2.2 --- "User's Utility, Payment, Payoff, and Demand" --- p.17 / Chapter 2.3 --- Network Costs --- p.18 / Chapter 2.4 --- Access Price --- p.20 / Chapter 3 --- Fixed Coverage Two Base Stations Model --- p.21 / Chapter 3.1 --- Social Optimal User Pricing --- p.21 / Chapter 3.2 --- Social Optimal Access Pricing --- p.24 / Chapter 3.2.1 --- "Networks' Profit-Maximizing User Pricing Given Fixed Access Prices:TT1* (α1 α2) and TT2* (α1, α2)" --- p.24 / Chapter 3.2.2 --- Social Optimal Access Pricing: αS1 and αS2 --- p.27 / Chapter 3.3 --- Deregulated User Pricing and Access Pricing --- p.30 / Chapter 3.3.1 --- User's Optimal Data Rate Demand in Stage III --- p.30 / Chapter 3.3.2 --- Operators' User Pricing in Stage II --- p.30 / Chapter 3.3.3 --- Operators' Access Pricing in Stage I --- p.31 / Chapter 4 --- Full Coverage Two Base Stations Model --- p.34 / Chapter 4.1 --- Full Coverage Wireless Market Model --- p.34 / Chapter 4.2 --- Users' choice of service providers --- p.35 / Chapter 4.3 --- Social Optimal User Pricing --- p.36 / Chapter 4.3.1 --- Numerical study --- p.38 / Chapter 4.4 --- Deregulated case - Profit-maximizing access price and user price --- p.41 / Chapter 4.4.1 --- Numerical Study --- p.45 / Chapter 5 --- Full Coverage Three Base Stations Model --- p.46 / Chapter 5.1 --- Three base-stations Full Coverage Market Model --- p.46 / Chapter 5.2 --- Social Optimal User Prices --- p.48 / Chapter 5.2.1 --- Numerical Study --- p.50 / Chapter 5.3 --- Deregulated scenario --- p.53 / Chapter 5.3.1 --- Numerical Study --- p.57 / Chapter 6 --- Conclusions and Future Work --- p.60 / Bibliography --- p.63

In the first model, we study the optimal procurement strategy in a two-period framework when both the spot market and the forward contract are considered. The forward contract is agreed upon in the first period, and is then delivered in the second period, when the spot market is also available. This is followed by production and demand. The objective of the buyer is to minimize his expected cost. We study the problem for two scenarios: the buyer cannot and can sell to the spot market. Through our analysis, when the buyer can not sell to the spot market, there exists a threshold forward price, under which the buyer will enter into the forward contract. This threshold is lower than the expected spot price. Furthermore, we analytically show that the optimal order quantities via forward contract increase in the mean of the spot price, but decrease in the variability of the spot price. However, the buyer only speculates using the forward contract when he can sell to spot market. / In the second model, we consider a problem in which a buyer makes procurement decisions when he faces periodic random demand and two supply sources, one is a long-term contract supplier and the other is a spot market. When he procures from the contract supplier, a fixed unit price is charged and a predetermined minimum quantity for each period must be committed, and when he procures from the spot market, a stochastic spot price plus a fixed setup cost is charged. The spot price is only realized at the beginning of each period. We show that the optimal policy consists three different (s, S) type policies. More important, we identify certain conditions under which there exist monotone properties between the policy parameters and the current spot price for a general Markov spot price process. Then, we can divide the price space into three regions, each of which corresponds to a specific policy, for each period. We also conduct numerical analysis to gain more insights into how the spot market impacts the buyer's performance. We find the buyers benefits from a more volatile market. / The last model extends the second model by incorporating an important feature that is widely seen; i.e., the procurement from the contract supplier should fulfill a total order quantity commitment (TOQC). The TOQC requires the buyer to procure no less than the predetermined commitment during the contract period, which we call the planning horizon. Thus, in each period, the buyer trades off between the possible lower cost now (by procuring from the spot market) and the reduced cost in the future (by reducing the remaining commitment). Two types of commitment contracts are considered: a minimal TOQC contract and a definite quantity contract. Our analysis characterizes an optimal procurement policy which depends on the spot price in each period and an optimal virtual remaining commitment level. Such a structured policy can be viewed as a combination of some policies of base-stock type, each of which can be computed through an equivalent system without any commitment. Moreover, some of these equivalent systems are of simple multiple-period newsvendor type. This greatly simplifies the computation of the optimal policies. We also numerically analyze how the TOQC and the spot market affects the buyer's performance. / This research develops mathematical models for inventory and procurement management in the presence of spot markets. More specifically, we consider those models by incorporating different types of supply contracts. Particular attention is paid to the quantity flexible contracts. This research is an attempt to understand how firms should adopt their operating policies in the presence of fluctuating commodity prices. In this thesis, we mainly consider the following three models. / Xue, Weili. / Adviser: Youhua Chen. / Source: Dissertation Abstracts International, Volume: 72-11, Section: B, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 122-134). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.

Nesta tese analisamos a influência dos preços dos ativos na condução da política monetária nos países emergentes no período de 1990 a 2006. Primeiramente, investigamos a presença de bolhas racionais nos preços das ações dos países emergentes através de testes de cointegração linear e não linear. Os resultados indicam a presença de bolhas racionais em pelo menos um dos testes realizados para cada um dos países estudados. Todavia, nossos resultados permitem concluir que as bolhas tendem a ser provocadas por fatores extrínsecos e não pela relação não linear intrínseca entre os preços das ações e os dividendos. Estudamos também a relação entre os retornos de mercado, inflação esperada e crescimento/hiato do produto, através de testes individuais e em conjunto utilizando modelos em painel linear e não linear. Em ambos verificamos que as variáveis financeiras carregam informações úteis, tanto direta como indireta, a respeito da inflação e do crescimento do produto, dentro ou fora da amostra. Por fim, investigamos se os preços dos ativos devem exercer um papel central nas decisões de política monetária, através de modelos GMM (individuais e em painel) e de otimização dinâmica. Os resultados indicam que a razão dividendo-preço e a taxa de câmbio real são bons instrumentos na função de reação dos bancos centrais dos países emergentes, porém não podemos concluir que estas variáveis devam ser utilizadas como argumentos nestas funções de reação. Os resultados também indicam que, nos países que optaram pelo regime de metas de inflação estrita, a melhor opção seria não considerar explicitamente os retornos das ações em suas funções de reação. Para bancos centrais atuando em regimes de metas de inflação com política monetária acomodatícia ou outro tipo de regime, a melhor opção seria considerar os preços das ações em suas funções de reação. / We examine the relationship (if any) between stock prices and monetary policy in 22 emerging countries over the period 1990-2006. First, we investigate whether rational stock price bubbles are present in such countries using linear and nonlinear cointegration. Bubbles were found in at least one out of the six tests considered. These were likely to be caused by extrinsic factors, rather than by the intrinsic nonlinear relation between the stock prices and dividends. Secondly, we evaluate the link between market returns, expected inflation and output gap and growth by employing both individual and joint tests of linear and nonlinear panel models. We find that the stock prices convey useful information about inflation and output growth in-sample and out-of-the-sample Finally, we ask whether the stock prices are to be given a central role in monetary policy decisions using both (individual and panel) GMM models and dynamic optimization. We find that though the dividend-price ratio and the real exchange rate can provide useful information for monetary policy decisions, we should not jump to the conclusion that they have to be considered as arguments of the central banks' reaction functions. For the central banks with explicit inflation targeting, the best choice is not to consider the stock returns in their reaction functions. However, for the other regimes the best choice is to consider the stock returns in the reaction functions.

Huang Ming Xi = 三因結構模型之公司債劵定價及其應用 / 黃銘浠. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 99-102). / Text in English; abstracts in English and Chinese. / Huang Ming Xi = San yin jie gou mo xing zhi gong si zhai quan ding jia ji qi ying yong / Huang Mingxi. / Abstract --- p.i / Acknowledgements --- p.iii / Contents --- p.iv / List of Figures --- p.vii / List of Tables --- p.xiii / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Structural Models of Credit Pricing --- p.3 / Chapter 2.1 --- Introduction --- p.3 / Chapter 2.2 --- Merton's Model (1974) --- p.4 / Chapter 2.2.1 --- The Framework of the Traditional Contingent Claims Analysis (CCA) --- p.5 / Chapter 2.2.2 --- The Valuation of Corporate Bonds with B-S Option Pric- ing Theory --- p.9 / Chapter 2.2.3 --- The Limitations of Traditional Contingent Claim Ap- proach --- p.12 / Chapter 2.3 --- "Shimko, Tejima and Deventer (1993)" --- p.15 / Chapter 2.3.1 --- The Merton's Model in a Stochastic Interest Rate Frame- work --- p.15 / Chapter 2.4 --- Longstaff and Schwartz (1995) --- p.17 / Chapter 2.4.1 --- A Structure Model of Early Default Mechanism and De- viations from APR --- p.17 / Chapter 2.5 --- Briys and de Varenne (1997) --- p.21 / Chapter 2.5.1 --- A Structure Model of Stochastic Default Barrier --- p.21 / Chapter 2.5.2 --- The Valuation of Risky Zero-Coupon Bonds --- p.22 / Chapter 2.6 --- Stationary-leverage-ratio Models --- p.25 / Chapter 2.6.1 --- Tauren (1999) --- p.25 / Chapter 2.6.2 --- Collin-Dufresne and Goldstein (2001) --- p.27 / Chapter 2.7 --- Summary --- p.29 / Chapter Chapter 3. --- The Valuation Framework of the Three-factor Model --- p.32 / Chapter 3.1 --- Introduction --- p.33 / Chapter 3.2 --- The Framework of the Three-factor Model --- p.35 / Chapter 3.3 --- The Valuation of Risky Bonds --- p.39 / Chapter 3.3.1 --- Imposing an Early Default Mechanism --- p.42 / Chapter 3.3.2 --- Application: The Valuation of Probability of Default --- p.45 / Chapter Chapter 4. --- The Pricing Methodology of the Three-factor Model --- p.46 / Chapter 4.1 --- Simplification of the Problem --- p.47 / Chapter 4.2 --- Methodology of Upper-lower Bound Scheme --- p.48 / Chapter 4.2.1 --- Single-stage Approximation --- p.48 / Chapter 4.2.2 --- Illustrative Examples --- p.53 / Chapter 4.2.3 --- Multistage Approximation --- p.54 / Chapter 4.2.4 --- Summary --- p.58 / Chapter 4.2.5 --- Systematic Multistage Estimation of Bond Price --- p.61 / Chapter 4.3 --- Estimation of Default Probability --- p.63 / Chapter Chapter 5. --- Numerical Results and Discussion --- p.69 / Chapter 5.1 --- Initial Setting of Parameters --- p.69 / Chapter 5.2 --- Numerical Results and Discussion --- p.74 / Chapter Chapter 6. --- Conclusion --- p.89 / Appendix A. The Derivation of the Three-Factor Model --- p.91 / Bibliography --- p.99

Chan Chi-fai Quincy. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 52-55). / Abstracts in English and Chinese. / ACKNOWLEDGMENTS --- p.iv / LIST OF TABLES --- p.v / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- LITERATURE REVIEW --- p.4 / Chapter THREE --- DATA AND METHODOLOGY --- p.8 / Moving Averages (MA) / Relative Strength Index (RSI) / Buy-and-Hold (B & H) and the Annual Return / Transaction Costs and the Adjusted Return / Chapter FOUR --- EMPIRICAL RESULTS --- p.13 / Hong Kong-HSI / Results Without Short Selling / Results With Short Selling / Results / Singapore - STII / Results Without Short Selling / Results With Short Selling / Results / Taiwan-TWSE / Results Without Short Selling / Results With Short Selling / Results / Korea-KSP / Results Without Short Selling / Results With Short Selling / Results / Chapter FIVE --- CONCLUSION --- p.30 / TABLES --- p.32 / ILLUSTRATIONS --- p.45 / BIBOGRAPHY --- p.52

No description available.