本論文的第一部分介紹一個帶基準約束的連續時間均值方差資產組合選擇問題。這個非凸優化問題將採用拉格朗日乘數來解決，並求出相應的答案及其存在準則。為了進行敏感性分析，相應的最佳投資組合及其一些導數將被明確求出。在第二部分中，我們採用標準的線性回歸技巧來檢定三個日曆效應是否在統計上顯著。其中最顯著的效應是四月及十二月的回報比全年平均為高。 / The first part of this thesis presents a benchmarked continuous-time mean-variance portfolio selection problem. The method of Lagrange multipliers is employed to solve this non-convex optimization problem, and the criterion for the existence of solution is derived accordingly. The corresponding efficient portfolio and its derivatives are explicitly derived for sensitivity analysis. The second part we employ the standard linear regression technique to test whether three calendar effects are statistically significant. The most significant effect is that the returns in April and December are higher than the average in the whole year. / Detailed summary in vernacular field only. / Yip, Fai Lung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 49-53). / Abstracts also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Mean Variance --- p.5 / Chapter 2.1 --- Model --- p.5 / Chapter 2.2 --- Portfolio Selection and the Solution --- p.9 / Chapter 2.3 --- Existence and Uniqueness of Lagrange Multipliers --- p.21 / Chapter 2.4 --- Optimal Trading Strategy --- p.29 / Chapter 2.5 --- Sensitivity Analysis --- p.34 / Chapter 3 --- Calendar Effect --- p.39 / Chapter 3.1 --- Data and Method --- p.39 / Chapter 3.2 --- Results --- p.42 / Chapter 4 --- Appendix --- p.47 / Chapter 4.1 --- Procedures Used to Obtain the Results in Chapter 4 --- p.47 / Bibliography --- p.49
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_328557 |
| Date | January 2012 |
| Contributors | Yip, Fai Lung., 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 | electronic resource, electronic resource, remote, 1 online resource (vi, 53 leaves) : ill. |
| 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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