Ng, Hon Yip. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (p. 79-83). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Basic Concepts in Portfolio Theory --- p.8 / Chapter 2.1 --- Statistical Model --- p.8 / Chapter 2.2 --- Mean-Variance Optimization --- p.9 / Chapter 2.3 --- The Efficient Frontier --- p.11 / Chapter 2.4 --- The Tangency Portfolio and The Capital Market Line --- p.13 / Chapter 2.5 --- Mathematical Formulation of Portfolio Optimization --- p.17 / Chapter 3 --- Derivation of The Improved Estimator --- p.29 / Chapter 4 --- Simulation Study --- p.40 / Chapter 4.1 --- Procedure of Simulation --- p.40 / Chapter 4.2 --- Simulation Results --- p.46 / Chapter 4.2.1 --- Zero Correlation --- p.47 / Chapter 4.2.2 --- Positive Correlations --- p.50 / Chapter 4.2.3 --- Negative Correlations --- p.52 / Chapter 5 --- Conclusion and Future Direction --- p.56 / Chapter A --- Simulation results for p = 200 --- p.58 / Chapter B --- Simulation results for p = 400 --- p.61 / Chapter C --- Simulation results for p = 500 --- p.64 / Chapter D --- Simulation results for p = 200 with negative correlations --- p.67 / Chapter E --- Simulation results for p = 400 with negative correlations --- p.71 / Chapter F --- Simulation results for p = 500 with negative correlations --- p.75 / Bibliography --- p.79
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326372 |
| Date | January 2008 |
| Contributors | Ng, Hon Yip., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vii, 83 p. : 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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