Shen Ruijun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 72-74). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.ii / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Portfolio Selection Problem --- p.1 / Chapter 1.1.1 --- The Mean-Variance Approach --- p.1 / Chapter 1.1.2 --- The Utility Function Approach --- p.2 / Chapter 1.2 --- Conic Programming and Duality Theory --- p.3 / Chapter 1.2.1 --- Cones and Conic Programming --- p.3 / Chapter 1.2.2 --- Second Order Cones --- p.4 / Chapter 1.3 --- Uncertainties and Robust Optimization --- p.5 / Chapter 1.4 --- Problem Formulation --- p.8 / Chapter 1.4.1 --- Utility Approach Based on a Single-Stage Tree --- p.8 / Chapter 1.4.2 --- Utility Approach Based on a Two-St age Tree --- p.10 / Chapter 1.4.3 --- Robust Counterpart of the Single-Stage Model --- p.14 / Chapter 1.4.4 --- Robust Counterpart of the Two-Stage Model --- p.16 / Chapter 2 --- Single-Stage Robust Selection --- p.20 / Chapter 2.1 --- A Specific Model --- p.20 / Chapter 2.1.1 --- Assumptions --- p.20 / Chapter 2.1.2 --- Formulation of the Model --- p.21 / Chapter 2.1.3 --- Solution for the Model --- p.22 / Chapter 2.2 --- The General Model --- p.26 / Chapter 2.2.1 --- Assumptions --- p.26 / Chapter 2.2.2 --- Solving the model --- p.27 / Chapter 3 --- Results on Two-Stage Models --- p.30 / Chapter 3.1 --- A Specific Two-Stage Robust Model --- p.30 / Chapter 3.1.1 --- Assumptions --- p.30 / Chapter 3.1.2 --- Formulation of the model --- p.32 / Chapter 3.1.3 --- Solution for the Model --- p.33 / Chapter 3.2 --- The General Two-Stage Robust Model --- p.40 / Chapter 3.2.1 --- Assumptions --- p.40 / Chapter 3.2.2 --- Solution for the Model --- p.41 / Chapter 3.2.3 --- General Model with Ellipsoidal Uncertainty Sets --- p.45 / Chapter 4 --- Numerical Results --- p.53 / Chapter 4.1 --- Scenario Tree Generation --- p.53 / Chapter 4.2 --- Numerical Results for the problem (SRP2) --- p.56 / Chapter 5 --- Conclusion --- p.67 / Chapter A --- Equation Derivation --- p.69 / Bibliography --- p.72
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325443 |
| Date | January 2005 |
| Contributors | Shen, Ruijun., 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, 74 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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