by Wan-Lung Ng. / Thesis submitted in: November 1997. / On added t.p.: January 19, 1998. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 114-119). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Overview --- p.1 / Chapter 1.2 --- Organization Outline --- p.5 / Chapter 2 --- Literature Review --- p.7 / Chapter 2.1 --- Modern Portfolio Theory --- p.7 / Chapter 2.1.1 --- Mean-Variance Model --- p.9 / Chapter 2.1.2 --- Setting-up the relationship between the portfolio and its component securities --- p.11 / Chapter 2.1.3 --- Identifying the efficient frontier --- p.12 / Chapter 2.1.4 --- Selecting the best compromised portfolio --- p.13 / Chapter 2.2 --- Stochastic Optimal Control --- p.17 / Chapter 2.2.1 --- Dynamic Programming --- p.18 / Chapter 2.2.2 --- Dynamic Programming Decomposition --- p.21 / Chapter 3 --- Multiple Period Portfolio Analysis --- p.23 / Chapter 3.1 --- Maximization of Multi-period Consumptions --- p.24 / Chapter 3.2 --- Maximization of Utility of Terminal Wealth --- p.29 / Chapter 3.3 --- Maximization of Expected Average Compounded Return --- p.33 / Chapter 3.4 --- Minimization of Time to Reach Target --- p.35 / Chapter 3.5 --- Goal-Seeking Investment Model --- p.37 / Chapter 4 --- Multi-period Mean-Variance Analysis with a Riskless Asset --- p.40 / Chapter 4.1 --- Motivation --- p.40 / Chapter 4.2 --- Dynamic Mean-Variance Analysis Formulation --- p.43 / Chapter 4.3 --- Auxiliary Problem Formulation --- p.45 / Chapter 4.4 --- Efficient Frontier in Multi-period Portfolio Selection --- p.53 / Chapter 4.5 --- Obseravtions --- p.58 / Chapter 4.6 --- Solution Algorithm for Problem E (w) --- p.62 / Chapter 4.7 --- Illstrative Examples --- p.63 / Chapter 4.8 --- Verification with Single-period Efficient Frontier --- p.72 / Chapter 4.9 --- Generalization to Cases with Nonlinear Utility Function of E (xT) and Var (xT) --- p.75 / Chapter 5 --- Dynamic Portfolio Selection without Risk-less Assets --- p.84 / Chapter 5.1 --- Construction of Auxiliuary Problem --- p.88 / Chapter 5.2 --- Analytical Solution for Efficient Frontier --- p.89 / Chapter 5.3 --- Reduction to Investment Situations with One Risk-free Asset --- p.101 / Chapter 5.4 --- "Multi-period Portfolio Selection via Maximizing Utility function U(E {xT),Var (xT))" --- p.103 / Chapter 6 --- Conclusions and Recommendations --- p.108 / Chapter 6.1 --- Summaries and Achievements --- p.108 / Chapter 6.2 --- Future Studies --- p.110 / Chapter 6.2.1 --- Constrained Investment Situations --- p.110 / Chapter 6.2.2 --- Including Higher Moments --- p.111
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_322318 |
| Date | January 1998 |
| Contributors | Ng, Wan-Lung., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, iii, 119 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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