Return to search

Investment models based on clustered scenario trees.

Wong Man Hong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 60-63). / Abstracts in English and Chinese. / Abstract --- p.i / Abstract in Chinese --- p.ii / Thesis Assessment Committee --- p.iii / Acknowledgement --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Our Work and Motivation --- p.1 / Chapter 1.2 --- Literature Review --- p.3 / Chapter 1.3 --- Thesis Structure --- p.5 / Chapter 2 --- Preliminary --- p.6 / Chapter 2.1 --- Calculus for Volume of Sphere --- p.6 / Chapter 2.2 --- Fractional Programming and Dinkelbach's Algorithm --- p.7 / Chapter 2.3 --- Nonlinear Programming and Interior Point Algorithm --- p.8 / Chapter 2.4 --- Second Order Cones and Conic Programming --- p.10 / Chapter 3 --- The Probability Model --- p.12 / Chapter 3.1 --- Derive the Chance Constraint --- p.12 / Chapter 3.2 --- Single Cluster Model --- p.18 / Chapter 3.3 --- Multi-clusters Model --- p.21 / Chapter 4 --- The Downside Risk Model --- p.24 / Chapter 4.1 --- Derive the Downside Risk Measure --- p.24 / Chapter 4.2 --- Calculate the First and Second Derivative of the Downside Risk --- p.27 / Chapter 4.3 --- Single Cluster Model and Numerical Algorithm --- p.29 / Chapter 4.4 --- Multi-clusters Model --- p.34 / Chapter 5 --- The Conditional Value-at-Risk Model --- p.37 / Chapter 5.1 --- Derive the Conditional Value at Risk --- p.37 / Chapter 5.2 --- Single Cluster Model and Numerical Algorithm --- p.41 / Chapter 5.3 --- Multi-clusters Model --- p.47 / Chapter 6 --- Numerical Results --- p.51 / Chapter 6.1 --- Data Set --- p.51 / Chapter 6.2 --- The Probability Model --- p.53 / Chapter 6.3 --- The Downside Risk Model --- p.53 / Chapter 6.4 --- The CVaR Model --- p.56 / Chapter 7 --- Conclusions --- p.58 / Bibliography --- p.60

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325783
Date January 2006
ContributorsWong, Man Hong., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, ix, 63 leaves : ill. ; 30 cm.
RightsUse 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/)

Page generated in 0.0014 seconds