Zhang Li. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 67-69). / Abstracts in English and Chinese. / Chapter 1 --- Introduction and Literature Review --- p.1 / Chapter 2 --- The Tracking Portfolio Models --- p.7 / Chapter 2.1 --- Problem Formulation --- p.8 / Chapter 2.2 --- Reformulation of Tracking Models --- p.12 / Chapter 2.3 --- A Stochastic LQ Control Approach --- p.13 / Chapter 3 --- Efficient Tracking: Deterministic Market Parameters --- p.16 / Chapter 3.1 --- Solution to Model I --- p.17 / Chapter 3.2 --- A Special Case of Model I --- p.23 / Chapter 3.3 --- Solution to Model II --- p.24 / Chapter 3.4 --- A Special Case of Model II: Mean-Variance Portfolio Selection --- p.32 / Chapter 3.5 --- Solution to Model III --- p.36 / Chapter 4 --- Efficient Tracking: Markov-Modulated Market Parameters --- p.41 / Chapter 4.1 --- Problem Formulation --- p.42 / Chapter 4.2 --- Solution to Model I with Regime Switching --- p.47 / Chapter 4.3 --- Solution to Model II with Regime Switching --- p.52 / Chapter 4.4 --- Solution to Model III with Regime Switching --- p.59 / Chapter 5 --- Conclusion --- p.64 / Bibliography --- p.66
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324285 |
| Date | January 2003 |
| Contributors | Zhang, Li., 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, iii, 69 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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