Wong, Chi Ying. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 71-74). / Abstracts in English and Chinese. / Abstract Page --- p.ii / Acknowledgment Page --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.5 / Chapter 3 --- Review of minimax portfolio selection model --- p.11 / Chapter 3.1 --- The I∞ model --- p.11 / Chapter 4 --- Portfolio optimization with group investment limits --- p.16 / Chapter 4.1 --- The model --- p.16 / Chapter 4.2 --- The optimal investment strategy --- p.17 / Chapter 4.2.1 --- All assets are risky --- p.18 / Chapter 4.2.2 --- Some riskfree assets are involved --- p.39 / Chapter 4.3 --- Chapter summary --- p.40 / Chapter 5 --- Tracing out the efficient frontier --- p.41 / Chapter 5.1 --- Properties of the efficient frontier --- p.42 / Chapter 5.2 --- The algorithm --- p.51 / Chapter 5.3 --- Time complexity of the algorithm --- p.56 / Chapter 5.4 --- Chapter summary --- p.57 / Chapter 6 --- Finding the investor's optimal portfolio --- p.58 / Chapter 6.1 --- Investor's portfolio with given A --- p.58 / Chapter 6.2 --- Chapter summary --- p.60 / Chapter 7 --- Numerical experiments --- p.61 / Chapter 7.1 --- Finding the efficient frontier numerically --- p.61 / Chapter 7.2 --- Performance between mean-variance model and I∞ model --- p.64 / Chapter 7.2.1 --- Data analysis --- p.64 / Chapter 7.2.2 --- Experiment description and discussion --- p.65 / Chapter 7.3 --- Chapter summary --- p.67 / Chapter 8 --- Conclusion --- p.68 / Bibliography --- p.71 / Appendix --- p.75 / Chapter A --- Stocks for finding the efficient frontiers with and without bound constraints --- p.75 / Chapter B --- List of companies --- p.77 / Chapter C --- Graphical Results --- p.81
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326057 |
| Date | January 2007 |
| Contributors | Wong, Chi Ying., 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, x, 95 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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