Chen Li. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 76-78). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgements --- p.iii / Table of Contents --- p.v / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature review --- p.4 / Chapter 3 --- The semi-mean target tracking model --- p.9 / Chapter 3.1 --- Introduction --- p.9 / Chapter 3.2 --- The robust optimization problem --- p.11 / Chapter 3.3 --- Portfolio selection methods --- p.14 / Chapter 3.3.1 --- Jensen's inequality approach --- p.15 / Chapter 3.3.2 --- The robust optimization approach --- p.17 / Chapter 3.3.3 --- Empirical method --- p.22 / Chapter 3.4 --- How to evaluate a portfolio? --- p.24 / Chapter 3.4.1 --- Tight bounds --- p.24 / Chapter 3.4.2 --- The semidefinite programming bounds --- p.25 / Chapter 3.4.3 --- Conclusions --- p.28 / Chapter 3.5 --- Numerical results --- p.29 / Chapter 3.5.1 --- The analysis of the data --- p.29 / Chapter 3.5.2 --- Jensen's inequality approach --- p.31 / Chapter 3.5.3 --- The robust optimization approach --- p.34 / Chapter 3.5.4 --- The empirical linear programming method --- p.34 / Chapter 3.6 --- Comparisons and conclusions --- p.39 / Chapter 4 --- The semi-variance target tracking model --- p.45 / Chapter 4.1 --- Introduction --- p.45 / Chapter 4.2 --- The portfolio selection methods --- p.46 / Chapter 4.2.1 --- The robust optimization method --- p.47 / Chapter 4.2.2 --- The empirical method --- p.50 / Chapter 4.3 --- Evaluating a selected portfolio --- p.52 / Chapter 4.3.1 --- Computing SDP bounds --- p.52 / Chapter 4.3.2 --- Conclusions --- p.55 / Chapter 4.4 --- Numerical results --- p.55 / Chapter 4.4.1 --- The robust optimization method --- p.56 / Chapter 4.4.2 --- The empirical second order cone programming method --- p.61 / Chapter 4.4.3 --- Comparisons and conclusions --- p.61 / Chapter 4.5 --- Summary and future work --- p.69 / Appendix A --- p.70 / Bibliography --- p.76
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324776 |
| Date | January 2004 |
| Contributors | Chen, Li, 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, vii, 78 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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