Lam Fong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 67-68). / Abstracts in English and Chinese. / Chapter 1 --- Background --- p.1 / Chapter 1.1 --- Bond and Yield --- p.1 / Chapter 1.1.1 --- Bond [8] --- p.1 / Chapter 1.1.2 --- Yields --- p.3 / Chapter 1.1.3 --- Qualitative Nature of Price-Yield Curves --- p.5 / Chapter 1.2 --- "Duration, Convexity and Time Value" --- p.8 / Chapter 1.2.1 --- Duration --- p.8 / Chapter 1.2.2 --- Qualitative Properties of Duration --- p.10 / Chapter 1.2.3 --- Convexity --- p.16 / Chapter 1.2.4 --- Literatures Review of Duration and Convexity --- p.17 / Chapter 1.2.5 --- Time Value --- p.20 / Chapter 2 --- Management of Interest Rate Risk --- p.22 / Chapter 2.1 --- Laddered Strategy --- p.23 / Chapter 2.2 --- Dumbbell Strategy --- p.24 / Chapter 2.3 --- Immunization Strategy --- p.25 / Chapter 2.4 --- Consideration of Convexity for Managing Interest Rate Risk --- p.26 / Chapter 2.5 --- Duration Targeting[l2] --- p.28 / Chapter 2.6 --- Immunizing Default-Free Bond Portfolios with a Duration Vec- tor [2] --- p.29 / Chapter 2.7 --- The need of Dynamic Global Portfolio Immunization Theorem --- p.32 / Chapter 3 --- Multi-Period Portfolio Selection --- p.34 / Chapter 3.1 --- Objective --- p.34 / Chapter 3.2 --- Dynamic Programming Formulation --- p.35 / Chapter 3.3 --- Specific Situation --- p.46 / Chapter 3.4 --- Summary of Implementation Results --- p.59 / Chapter 4 --- Summary --- p.64 / Bibliography --- p.67 / A Matlab Program of the Dynamic Portfolio Selection --- p.69

Michaud introduced resampled efficiency as an alternative and improvement to Markowitz mean-variance efficiency. While resampled efficiency is far from becoming the standard paradigm of capital allocation amongst risky assets, it has nonetheless gained considerable ground in financial circles and become a fairly debated portfolio construction technique. This thesis applies Michaud's techniques to a wide array of stocks and tries to validate claims of performance superiority of resampled portfolios. While there seems to be no conclusive advantage or disadvantage of using resampling as a technique to obtain better returns, resampled portfolios do seem to offer higher stability and lower transaction costs.

Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1978. / Includes bibliographical references (leaves 59-62). / by Robert Neil Fuhrman. / M.S.

Shen Ruijun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 72-74). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.ii / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Portfolio Selection Problem --- p.1 / Chapter 1.1.1 --- The Mean-Variance Approach --- p.1 / Chapter 1.1.2 --- The Utility Function Approach --- p.2 / Chapter 1.2 --- Conic Programming and Duality Theory --- p.3 / Chapter 1.2.1 --- Cones and Conic Programming --- p.3 / Chapter 1.2.2 --- Second Order Cones --- p.4 / Chapter 1.3 --- Uncertainties and Robust Optimization --- p.5 / Chapter 1.4 --- Problem Formulation --- p.8 / Chapter 1.4.1 --- Utility Approach Based on a Single-Stage Tree --- p.8 / Chapter 1.4.2 --- Utility Approach Based on a Two-St age Tree --- p.10 / Chapter 1.4.3 --- Robust Counterpart of the Single-Stage Model --- p.14 / Chapter 1.4.4 --- Robust Counterpart of the Two-Stage Model --- p.16 / Chapter 2 --- Single-Stage Robust Selection --- p.20 / Chapter 2.1 --- A Specific Model --- p.20 / Chapter 2.1.1 --- Assumptions --- p.20 / Chapter 2.1.2 --- Formulation of the Model --- p.21 / Chapter 2.1.3 --- Solution for the Model --- p.22 / Chapter 2.2 --- The General Model --- p.26 / Chapter 2.2.1 --- Assumptions --- p.26 / Chapter 2.2.2 --- Solving the model --- p.27 / Chapter 3 --- Results on Two-Stage Models --- p.30 / Chapter 3.1 --- A Specific Two-Stage Robust Model --- p.30 / Chapter 3.1.1 --- Assumptions --- p.30 / Chapter 3.1.2 --- Formulation of the model --- p.32 / Chapter 3.1.3 --- Solution for the Model --- p.33 / Chapter 3.2 --- The General Two-Stage Robust Model --- p.40 / Chapter 3.2.1 --- Assumptions --- p.40 / Chapter 3.2.2 --- Solution for the Model --- p.41 / Chapter 3.2.3 --- General Model with Ellipsoidal Uncertainty Sets --- p.45 / Chapter 4 --- Numerical Results --- p.53 / Chapter 4.1 --- Scenario Tree Generation --- p.53 / Chapter 4.2 --- Numerical Results for the problem (SRP2) --- p.56 / Chapter 5 --- Conclusion --- p.67 / Chapter A --- Equation Derivation --- p.69 / Bibliography --- p.72

Yang, Fan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (p. 100-106). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Literature review --- p.1 / Chapter 1.2 --- The main contribution of this thesis --- p.5 / Chapter 1.3 --- Relations between the above three models --- p.7 / Chapter 2 --- Model 1 --- p.9 / Chapter 2.1 --- Introduction --- p.9 / Chapter 2.2 --- Minimax rule risk function --- p.11 / Chapter 2.3 --- Fuzzy liquidity of asset --- p.12 / Chapter 2.4 --- Notations --- p.15 / Chapter 2.5 --- Model formulation --- p.16 / Chapter 2.6 --- Numerical example and result --- p.25 / Chapter 3 --- Model 2 --- p.36 / Chapter 3.1 --- Introduction --- p.36 / Chapter 3.2 --- Notations --- p.39 / Chapter 3.3 --- Model formulation --- p.41 / Chapter 3.4 --- Numerical example and result --- p.45 / Chapter 4 --- Model 3 --- p.51 / Chapter 4.1 --- Introduction --- p.51 / Chapter 4.2 --- Notations --- p.52 / Chapter 4.3 --- Model formulation --- p.54 / Chapter 4.4 --- Numerical example and result --- p.62 / Chapter 5 --- Conclusion --- p.68 / Chapter A --- Source Data for Model 1 --- p.71 / Chapter B --- Source Data for Model 2 --- p.80 / Chapter C --- Source Data for Model 3 --- p.90 / Bibliography --- p.100

Since Markowitz published his seminal work on mean-variance portfolio selection in 1952, almost all literatures in the past half century adhere their investigation to a binding budget spending assumption in static problem settings and a self financing assumption in dynamic settings. In the mean-variance world for a market of all risky assets, however, the common belief of monotonicity does not hold, i.e., not the larger amount you invest, the larger expected future wealth you can expect for a given risk (variance) level. We introduce in this thesis the concept of pseudo efficiency to remove from the candidates such efficient mean-variance policies which can be achieved by less initial investment level. By relaxing the binding budget spending restriction in investment, we derive an optimal scheme in managing initial wealth which dominates the traditional mean-variance efficient frontier. Moreover, as the general dynamic mean-variance portfolio selection formulation does not satisfy the principle of optimality of dynamic programming, phenomena of time inconsistency occur, i.e., investors may have incentives to deviate from the pre-committed optimal mean-variance portfolio policy during the investment process under certain circumstances. By introducing the concept of time inconsistency in efficiency and defining the induced trade-off, we further demonstrate in this thesis that investors behave irrationally under the pre-committed optimal mean-variance portfolio policy when their wealth is above certain threshold during the investment process. By relaxing the self-financing restriction to allow withdrawal of money out of the market, we develop a revised dynamic mean-variance policy for a market with a riskless asset which dominates the pre-committed optimal mean-variance portfolio policy in the sense that, while the two achieve the same mean-variance pair of the terminal wealth, the revised policy enables the investor to receive a free cash flow stream (FCFS) during the investment process. We further apply the concept of pseudo efficiency to a dynamic market of all risky assets and explore (better) revised dynamic mean-variance policies. By including the free cash flow stream in the total wealth, our proposed policy dominates the pre-committed optimal mean-variance portfolio policy in the sense that while both achieve the same total mean, the revised policy generates a smaller total variance. We reveal in this thesis that the time consistency in efficiency is closely related to the completeness of the market. We further discuss the relationship between time consistency in efficiency and the variance-optimal signed martingale measure (VSMM) of the market. Finally we show that time inconsistency in efficiency can be eliminated by enforcing no-shorting constraint for some market setting. / Cui, Xiangyu. / Adviser: Li Duan. / Source: Dissertation Abstracts International, Volume: 72-04, Section: A, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 163-170). / 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 dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

Mean-variance criterion in optimization AL problem aims at maximizing the final surplus; asset value minus liability value, subject to a given variance of the final surplus or, equivalently, minimizing the variance of the final surplus subject to a given expected final surplus. The stochastic optimal control theory is employed to analytically solve the AL management problem in continuous-time setting. Then the comparison of derived optimal AL management policy and the literatures are examined and the discrepancy in objectives between equity holders and investors of a mutual fund is discussed finally. / Portfolio selection in asset-liability (AL) management is to seek the best allocation of wealth among a basket of securities with taking into account the liabilities. There are a lot of portfolio selection criteria among in the literature. The two of them are mean-variance criterion and Roy's safety-first principle. This thesis investigates the optimal asset allocation for an investor who is facing an uncontrollable liability under either one of these two portfolio constructions. The relation between these two different principles are discussed in the context of AL management. / Roy's safety-first principle (Roy, 1956) asserts that the investor would specify a threshold level of the final surplus below which the outcome is regarded as disaster. The objective is then to minimize the ruin probability or the chance of disaster subject to a constraint that the expected final surplus is higher than the threshold. Roy however solves this problem by minimizing an upper bound of the ruin probability based on the Bienayme-Chebycheff inequality. With the same consideration of Roy, the analytical trading strategy of the safety-first. AL management, problem, in the sense of surplus, under both continuous- and multi-period-time settings are derived. We link this surrogated safety-first principle to the mean-variance ones. / The final objective of this thesis attacks the genuine safety-first AL problem. Without replacing the ruin probability in the objective function by its upper bound, we use a martingale approach and consider the funding ratio which is the total wealth divided by the total liability. Two important situations in the literature are investigated. In the first situation, the mean constraint of the original problem is removed, We show that removing the mean constraint makes the problem become a target reaching problem that can be solved analytically. However, the essence of safety-first is lost. In the second case in which the mean constraint is there, the problem becomes ill-posed and is then solved using an approximation using a martingale approach. The approximation relies on the assumption that the investor gives up unreasonably high profits and sets an upper bounded for the final funding ratio. / Chiu, Mei Choi. / "July 2007." / Adviser: Duan Li. / Source: Dissertation Abstracts International, Volume: 69-02, Section: B, page: 1304. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (p. 121-126). / 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, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract in English and Chinese. / School code: 1307.

Key Words: continuous-time model, mean-variance, transaction costs, stochastic singular control, Lagrange multiplier method, parabolic free-boundary problem, double-obstacle problem, Skorokhod problem. / We study continuous-time Markowitz's mean-variance portfolio selection problem in a market with one stock, one bond and proportional transaction costs. The presence of transaction costs makes the problem being a singular control problem in a finite time horizon, which is very hard to deal with from the point view of control theory. Using a partial differential equation approach, we formulate the problem as a double obstacle problem, and prove the smoothness of the value function. Then we give the necessary and sufficient conditions for the existence of an optimal solution and completely characterize the optimal strategy when the problem is feasible. We show three critical distinctive features of the Markowitz model under the presence of transaction costs. First, the expected return on the portfolio could be too high to achieve if the time to maturity is not long enough, while without transaction costs, any expected return can be reached in an arbitrary short time. Second, instead of keeping the investment ratio between stock and bond to be a constant, there exists time-dependent upper and lower boundaries, transaction is carried out only if the investment ratio is on the boundaries. Third, there exists a critical time, which only depends on the market parameters, such that beyond the time no more investment will be added to stock holding. Our result is closer to real investment practice where people tend not to invest on risky assets towards the end of the investment horizon. / Xu Zuoquan. / "January 2007." / Adviser: Xunyu Zhou. / Source: Dissertation Abstracts International, Volume: 68-08, Section: B, page: 5290. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (p. 118-123). / 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, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

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Made available in DSpace on 2014-06-12T17:41:22Z (GMT). No. of bitstreams: 2 arquivo7311_1.pdf: 1876106 bytes, checksum: 793746682e154f764229a337e5afb7e4 (MD5) license.txt: 1748 bytes, checksum: 8a4605be74aa9ea9d79846c1fba20a33 (MD5) Previous issue date: 2007 / Conselho Nacional de Desenvolvimento Científico e Tecnológico / O trabalho desenvolvido objetiva tratar o problema de seleção de portfolio de projetos e as particularidades que envolve. Apesar do considerável volume de estudos existentes, ainda não há um consenso quanto aos elementos que caracterizam esta abordagem, pois a maioria dos trabalhos utiliza o termo seleção de portfolio para designar seleção de projetos. Além disso, a existência de sinergia entre projetos é pouco abordada nos modelos que se propõem a resolver o problema. Portanto, pretende-se contribuir neste âmbito através da proposição de uma classificação para os problemas relacionados e para os métodos aplicáveis. Posteriormente, em acordo com a tipologia desenvolvida, é proposto um modelo multicritério para seleção de portfolio de projetos, o qual visa incorporar as possíveis sinergias e interdependências entre projetos. O modelo é formulado como um modelo de Otimização Combinatória, ajustando-se à existência de múltiplos critérios através de uma função objetivo de caráter compensatório, a qual agrega uma medida da contribuição proveniente de sinergias à avaliação dos projetos