Zhou, Ying. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 89-91). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Background --- p.1 / Chapter 1.2 --- Aims and objectives --- p.2 / Chapter 1.3 --- Outline of the thesis --- p.3 / Chapter 2 --- Literature Review --- p.6 / Chapter 2.1 --- Portfolio Optimization Problems --- p.6 / Chapter 2.2 --- Cooperative Games and Cooperative Investment Models --- p.8 / Chapter 2.2.1 --- Linear Production Games And Basic Concepts of Co- operative Game Theory --- p.9 / Chapter 2.2.2 --- Investment Models Using Linear Production Games --- p.12 / Chapter 3 --- Multi-period Cooperative Investment Games: Basic Model --- p.15 / Chapter 3.1 --- Cooperative Investment Game under Deterministic Case --- p.16 / Chapter 3.2 --- Cooperative Investment Game with Stochastic Return --- p.18 / Chapter 3.2.1 --- Basic Assumptions --- p.18 / Chapter 3.2.2 --- Choose the Proper Risk Measure --- p.20 / Chapter 3.2.3 --- One Period Case --- p.21 / Chapter 3.2.4 --- Multi-Period Case --- p.23 / Chapter 4 --- The Two-Period Investment Game under L∞ Risk Measure --- p.26 / Chapter 4.1 --- The Two Period Model --- p.26 / Chapter 4.2 --- The Algorithm --- p.35 / Chapter 4.3 --- Optimal Solution of the Dual --- p.41 / Chapter 5 --- Primal Solution and Stability of the Core under Two-Period Case --- p.43 / Chapter 5.1 --- Direct Results --- p.44 / Chapter 5.2 --- Find the Optimal Solutions of the Primal Problem --- p.46 / Chapter 5.3 --- Relationship between A and the Core --- p.53 / Chapter 5.3.1 --- Tracing out the efficient frontier --- p.54 / Chapter 6 --- Multi-Period Case --- p.63 / Chapter 6.1 --- Common Risk Price and the Negotiation Process with Concave Risk Utility --- p.64 / Chapter 6.1.1 --- Existence of Common Risk Price and Core --- p.65 / Chapter 6.1.2 --- Negotiation Process --- p.68 / Chapter 6.2 --- Modified Simplex Method --- p.71 / Chapter 7 --- Other Risk Measures --- p.76 / Chapter 7.1 --- The Downside Risk Measure --- p.76 / Chapter 7.1.1 --- Discrete (Finite Scenario) Distributions --- p.78 / Chapter 7.1.2 --- General Distributions --- p.81 / Chapter 7.2 --- Coherent Risk Measure and CVaR --- p.83 / Chapter 8 --- Conclusion and Future Work --- p.87
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326545 |
| Date | January 2008 |
| Contributors | Zhou, Ying., 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, vii, 91 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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