Kam, Kwok Hung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 100-103). / Abstracts in English and Chinese. / Abstract Page --- p.11 / Abstract (Chinese) --- p.12 / Acknowledgment Page --- p.13 / Table of Contents --- p.1 / Table of Figures --- p.1 / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Background --- p.1 / Chapter 1.2 --- Utility and Value Function --- p.5 / Chapter 1.2.1 --- Expected utility theory --- p.5 / Chapter 1.2.2 --- Prospect Theory --- p.9 / Chapter 1.3 --- Mental Accounting --- p.14 / Chapter 1.3.1 --- Segregation vs Aggregation --- p.17 / Chapter 2 --- Moving reference point with loss aversion --- p.21 / Chapter 2.1 --- Model Setup --- p.21 / Chapter 2.2 --- Simulation Results --- p.27 / Chapter 3 --- Constant Rebalancing Portfolio with Additive Utility --- p.30 / Chapter 3.1 --- Model setting --- p.31 / Chapter 3.1.1 --- Additive Utility Theory (AUT) --- p.33 / Chapter 3.2 --- Analysis --- p.34 / Chapter 3.3 --- Results --- p.35 / Chapter 3.4 --- Summary --- p.38 / Chapter 4 --- Revision of Gomes´ة Work --- p.40 / Chapter 4.1 --- Background --- p.40 / Chapter 4.2 --- Portfolio Allocation with zero surplus wealth --- p.44 / Chapter 4.3 --- Portfolio Allocation with Negative Surplus --- p.46 / Chapter 4.4 --- Portfolio Allocation with Positive Surplus --- p.50 / Chapter 4.5 --- Numerical Results --- p.51 / Chapter 4.5.1 --- Gomes´ة Work --- p.56 / Chapter 4.6 --- Summary --- p.57 / Chapter 5 --- Mental Accounting under Value Function in the Prospect Theory --- p.59 / Chapter 5.1 --- Cognitive dissonance --- p.59 / Chapter 5.2 --- Market Setting --- p.60 / Chapter 5.3 --- Single Mental Account --- p.61 / Chapter 5.4 --- Two Mental Accounts --- p.63 / Chapter 5.5 --- Numerical results --- p.67 / Chapter 5.5.1 --- Pessimistic View --- p.71 / Chapter 5.6 --- Summary --- p.72 / Chapter 6 --- Mental Accounting under Friedman-Savage Value Function --- p.74 / Chapter 6.1 --- Two Assets with Single mental account --- p.76 / Chapter 6.1.1 --- Different Sharpe ratios --- p.78 / Chapter 6.1.2 --- Same Sharpe ratio --- p.82 / Chapter 6.2 --- Two Assets with two mental accounts --- p.85 / Chapter 6.2.1 --- Segregation or Aggregation --- p.86 / Chapter 6.2.2 --- Numerical results --- p.90 / Chapter 6.3 --- Summary --- p.93 / Chapter 7 --- Conclusion --- p.96 / Bibliography --- p.100
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326560 |
| Date | January 2008 |
| Contributors | Kam, Kwok Hung., 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, 13, 130 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/) |
Page generated in 0.0021 seconds