Chiu Chun Hung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 112-114). / Abstracts in English and Chinese. / Abstract --- p.i / 論文摘要 --- p.ii / Acknowledgment --- p.iii / List of Figures n --- p.i / List of Tables n --- p.ii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.4 / Chapter 3 --- Review of the Minimax Model --- p.7 / Chapter 4 --- Portfolio Optimization with Shorting --- p.13 / Chapter 4.1 --- Formulation of Minimax Model with Shorting --- p.13 / Chapter 4.2 --- A Simple Optimal Investment Strategy --- p.14 / Chapter 4.2.1 --- All Assets Are Risk --- p.14 / Chapter 4.2.2 --- Some Assets Are Riskless --- p.31 / Chapter 4.3 --- Tracing Out the Efficient Frontier --- p.34 / Chapter 4.3.1 --- No Riskless Assets Are Involved --- p.34 / Chapter 4.3.2 --- Riskless Assets Are Involved --- p.43 / Chapter 4.4 --- Chapter Summary --- p.44 / Chapter 5 --- Portfolio Optimization with Investment Limit --- p.50 / Chapter 5.1 --- Formulation of Minimax Model with Investment Limit --- p.51 / Chapter 5.2 --- Optimal Solution to POI(λ) --- p.52 / Chapter 5.2.1 --- All Assets Are Risky --- p.52 / Chapter 5.2.2 --- Some Assets Are Riskless --- p.67 / Chapter 5.3 --- Chapter Summary --- p.71 / Chapter 6 --- Numerical Analysis --- p.72 / Chapter 6.1 --- Data Analysis --- p.72 / Chapter 6.2 --- Experiment Description and Discussion --- p.75 / Chapter 6.2.1 --- Short-Selling is Allowed --- p.75 / Chapter 6.2.2 --- Comparison Between the Cases With Short-Selling and Without Short-Selling --- p.77 / Chapter 6.3 --- Chapter Summary --- p.79 / Chapter 7 --- Conclusion --- p.39 / Chapter A --- List of Companies Included in Numerical Analysis --- p.82 / Chapter B --- Graphical Result of Section 6.21 --- p.84 / Chapter C --- Graphical Result of Section 6.22 --- p.93 / Bibliography --- p.112
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_323127 |
| Date | January 2000 |
| Contributors | Chiu, Chun 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, vii, 114 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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