This thesis studies the equilibrium behavior of continuous-time capital markets with various market assumptions. These assumptions include different settings of the investment opportunity set and consideration of the variability of the number of shares outstanding of stocks and the investment horizons of investors. Two capital asset pricing models (CAPMs) are established for every case. One of these CAPM focuses on the study of the relationship between the terminal rate of return of any given portfolio and the benchmark portfolios. The other CAPM focuses on the instantaneous rate of return. The market portfolios (and their substitutes for some cases) of all market situations are explicitly derived given homogeneous expectations. The mean-variance efficiencies with a specific terminal time are then investigated. It is proved that some of these market portfolios must be inefficient for a non-zero investment horizon. Moreover, the instantaneous efficiency of portfolios is studied for some market situations. The CAPMs are then developed based on the conditions of each market situation. / Chiu Chun Hung. / "December 2003." / Adviser: Xun Yu Zhou. / Source: Dissertation Abstracts International, Volume: 64-11, Section: A, page: 4147. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (p. 185-187). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_343376 |
| Date | January 2003 |
| 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, theses |
| Format | electronic resource, microform, microfiche |
| 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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