Jiang, Kening. / "August 2011." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (p. 90-93). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Portfolio Selection Using Clustering Methodology --- p.7 / Chapter 2.1 --- Heuristic algorithm --- p.8 / Chapter 2.1.1 --- Step 1: Security transformation by factor model --- p.8 / Chapter 2.1.2 --- Step 2: Clustering algorithm --- p.10 / Chapter 2.1.3 --- Step 3: Representative selection by t he Sliarpe ratio --- p.16 / Chapter 2.2 --- Numerical results --- p.17 / Chapter 3 --- Modified Portfolio Selection Using Clustering Methodology --- p.22 / Chapter 3.1 --- Analysis of artificial factors --- p.23 / Chapter 3.2 --- Problem reformulation --- p.27 / Chapter 3.3 --- Numerical results --- p.29 / Chapter 4 --- Minimum Variance Point --- p.70 / Chapter 4.1 --- Iterative elimination scheme I --- p.72 / Chapter 4.2 --- Iterative elimination scheme II --- p.74 / Chapter 4.3 --- Orthogonal matrix mapping --- p.76 / Chapter 4.4 --- Condition to solve diagonal dominant problem --- p.77 / Chapter 4.5 --- L1 formulation --- p.82 / Chapter 4.6 --- Numerical results --- p.85 / Chapter 5 --- Summary and Future work --- p.88
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327559 |
| Date | January 2011 |
| Contributors | Jiang, Kening., 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, xii, 93 p. : 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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