Yu Lian. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 81-84). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.4 / Chapter 3 --- An Index Tracking Model with Downside Chance Risk Mea- sure --- p.12 / Chapter 3.1 --- Statement of the Model --- p.13 / Chapter 3.2 --- Efficient Frontier --- p.16 / Chapter 3.3 --- Application of the Downside Chance Index Tracking Model --- p.29 / Chapter 3.4 --- Chapter Summary --- p.34 / Chapter 4 --- Index Tracking Models with High Order Moment Downside Risk Measure --- p.35 / Chapter 4.1 --- Statement of the Models --- p.35 / Chapter 4.2 --- Mean-Downside Deviation Financial Index Tracking Model --- p.38 / Chapter 4.3 --- Chapter Summary --- p.45 / Chapter 5 --- Numerical Analysis --- p.45 / Chapter 5.1 --- Data Analysis --- p.45 / Chapter 5.2 --- Experiment Description and Discussion --- p.48 / Chapter 5.2.1 --- Efficient Frontiers --- p.48 / Chapter 5.2.2 --- Monthly Expected Rate of Return --- p.50 / Chapter 5.3 --- Chapter Summary --- p.52 / Chapter 6 --- Summary --- p.54 / Chapter A --- List of Companies --- p.57 / Chapter B --- Graphical Result of Section 5.2.1 --- p.61 / Chapter C --- Graphical Result of Section 5.2.2 --- p.67 / Chapter D --- Proof in Chapter 3 and Chapter4 --- p.73 / Bibliography --- p.81
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324301 |
| Date | January 2003 |
| Contributors | Yu, Lian., 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, ix, 84 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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