A downside risk analysis based on financial index tracking models.

Description

Yu Lian. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 81-84). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.4 / Chapter 3 --- An Index Tracking Model with Downside Chance Risk Mea- sure --- p.12 / Chapter 3.1 --- Statement of the Model --- p.13 / Chapter 3.2 --- Efficient Frontier --- p.16 / Chapter 3.3 --- Application of the Downside Chance Index Tracking Model --- p.29 / Chapter 3.4 --- Chapter Summary --- p.34 / Chapter 4 --- Index Tracking Models with High Order Moment Downside Risk Measure --- p.35 / Chapter 4.1 --- Statement of the Models --- p.35 / Chapter 4.2 --- Mean-Downside Deviation Financial Index Tracking Model --- p.38 / Chapter 4.3 --- Chapter Summary --- p.45 / Chapter 5 --- Numerical Analysis --- p.45 / Chapter 5.1 --- Data Analysis --- p.45 / Chapter 5.2 --- Experiment Description and Discussion --- p.48 / Chapter 5.2.1 --- Efficient Frontiers --- p.48 / Chapter 5.2.2 --- Monthly Expected Rate of Return --- p.50 / Chapter 5.3 --- Chapter Summary --- p.52 / Chapter 6 --- Summary --- p.54 / Chapter A --- List of Companies --- p.57 / Chapter B --- Graphical Result of Section 5.2.1 --- p.61 / Chapter C --- Graphical Result of Section 5.2.2 --- p.67 / Chapter D --- Proof in Chapter 3 and Chapter4 --- p.73 / Bibliography --- p.81

Links & Downloads

1. cuhk:324301
2. http://library.cuhk.edu.hk/record=b5891530
3. http://repository.lib.cuhk.edu.hk/en/item/cuhk-324301

Tags

Finance--Mathematical models

Prices--Mathematical models

Investments--Mathematical models

Additional Fields

Identifer	oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324301
Date	January 2003
Contributors	Yu, Lian., 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, ix, 84 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/)