Log in

Relevant bibliographies by topics / Investment analysis – Mathematical models / Dissertations / Theses

To see the other types of publications on this topic, follow the link: Investment analysis – Mathematical models.

Dissertations / Theses on the topic 'Investment analysis – Mathematical models'

Author: Grafiati

Published: 4 June 2021

Last updated: 29 January 2023

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 dissertations / theses for your research on the topic 'Investment analysis – Mathematical models.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.

1

Ipperciel, David. "The performance of some new technical signals for investment timing." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape10/PQDD_0028/NQ50190.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Yuksel, Hasan Zafer. "Performance measures: Traditional versus new models." CSUSB ScholarWorks, 2006. https://scholarworks.lib.csusb.edu/etd-project/3086.

Full text

Abstract:

The thesis analyzed the performance of 5,987 mutual funds using a database called Steele Mutual Fund Experts and compared the predicting ability of various measures of performance. The measures discussed in the thesis are Treynor Ratio, Sharpe Ratio, Jensen's Alpha, Graham-Harvey-1 (GH-1), and Graham-Harvey-2 (GH-2). The performance measures are mostly used by professional money managers and scholars for literary purposes.

APA, Harvard, Vancouver, ISO, and other styles

3

Sohn, SugJe. "Modeling and Analysis of Production and Capacity Planning Considering Profits, Throughputs, Cycle Times, and Investment." Diss., Georgia Institute of Technology, 2004. http://hdl.handle.net/1853/5083.

Full text

Abstract:

This research focuses on large-scale manufacturing systems having a number of stations with multiple tools and product types with different and deterministic processing steps. The objective is to determine the production quantities of multiple products and the tool requirements of each station that maximizes net profit while satisfying strategic constraints such as cycle times, required throughputs, and investment. The formulation of the problem, named OptiProfit, is a mixed-integer nonlinear programming (MINLP) with the stochastic issues addressed by mean-value analysis (MVA) and queuing netw

APA, Harvard, Vancouver, ISO, and other styles

4

Dharmawan, Komang School of Mathematics UNSW. "Superreplication method for multi-asset barrier options." Awarded by:University of New South Wales. School of Mathematics, 2005. http://handle.unsw.edu.au/1959.4/30169.

Full text

Abstract:

The aim of this thesis is to study multi-asset barrier options, where the volatilities of the stocks are assumed to define a matrix-valued bounded stochastic process. The bounds on volatilities may represent, for instance, the extreme values of the volatilities of traded options. As the volatilities are not known exactly, the value of the option can not be determined. Nevertheless, it is possible to calculate extreme values. We show that these values correspond to the best and the worst case scenarios of the future volatilities for short positions and long positions in the portfolio of the op

APA, Harvard, Vancouver, ISO, and other styles

5

Soucik, Victor. "Finding the true performance of Australian managed funds." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2002. https://ro.ecu.edu.au/theses/730.

Full text

Abstract:

When making conclusions about the performance of managed funds, it is critical that the framework in which such performance is measured provides an accurate and unbiased environment. In this thesis I search for true performance of the two major classes of funds- equity as well as fixed interest managed funds. Focusing, first on the former class, I examine five measurement models across three risk-free proxies, nine benchmarks proposed by the extant literature (covering conditional and unconditional as well as single and multi factor definitions) and over three independent periods in an effort

APA, Harvard, Vancouver, ISO, and other styles

6

Chan, Yin-ting, and 陳燕婷. "Topics on actuarial applications of non-linear time series models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B32002099.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Chen, Hongqing. "An Empirical Study on the Jump-diffusion Two-beta Asset Pricing Model." PDXScholar, 1996. https://pdxscholar.library.pdx.edu/open_access_etds/1325.

Full text

Abstract:

This dissertation focuses on testing and exploring the usage of the jump-diffusion two-beta asset pricing model. Daily and monthly security returns from both NYSE and AMEX are employed to form various samples for the empirical study. The maximum likelihood estimation is employed to estimate parameters of the jump-diffusion processes. A thorough study on the existence of jump-diffusion processes is carried out with the likelihood ratio test. The probability of existence of the jump process is introduced as an indicator of "switching" between the diffusion process and the jump process. This new

APA, Harvard, Vancouver, ISO, and other styles

8

Niklewski, Jacek. "Multivariate GARCH and portfolio optimisation : a comparative study of the impact of applying alternative covariance methodologies." Thesis, Coventry University, 2014. http://curve.coventry.ac.uk/open/items/a8d7bf49-198d-49f2-9894-12e22ce2d7f1/1.

Full text

Abstract:

This thesis investigates the impact of applying different covariance modelling techniques on the efficiency of asset portfolio performance. The scope of this thesis is limited to the exploration of theoretical aspects of portfolio optimisation rather than developing a useful tool for portfolio managers. Future work may entail taking the results from this work further and producing a more practical tool from a fund management perspective. The contributions made by this thesis to the knowledge of the subject are that it extends literature by applying a number of different covariance models to a

APA, Harvard, Vancouver, ISO, and other styles

9

Zhou, Zilin, and 周紫麟. "Properties of analysts' earnings forecasts: the case of Hong Kong litsted local and Chinese companies." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B45597467.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Taniai, Hiroyuki. "Inference for the quantiles of ARCH processes." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210305.

Full text

Abstract:

Ce travail se compose de trois parties consacrées à différents aspects des modèles ARCH (AutoRegressive Conditionally Heteroskedastic) quantiles. Dans ces modèles, l’hétéroscédasticité conditionnelle est à prendre dans un sens très large, et affecte de fa¸ con potentiellement différenciée tous les quantiles conditionnels (et donc la loi conditionnelle elle-même), et non seulement, comme dans les modèles ARCH classiques, l’échelle conditionnelle.<p><p>La première partie étudie les problèmes de Value-at-Risk (VaR) dans les séries financières ainsi modélisées. Les approches traditionnelles présen

APA, Harvard, Vancouver, ISO, and other styles

11

Dicks, Anelda. "Value at risk and expected shortfall : traditional measures and extreme value theory enhancements with a South African market application." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/85674.

Full text

Abstract:

Thesis (MComm)--Stellenbosch University, 2013.<br>ENGLISH ABSTRACT: Accurate estimation of Value at Risk (VaR) and Expected Shortfall (ES) is critical in the management of extreme market risks. These risks occur with small probability, but the financial impacts could be large. Traditional models to estimate VaR and ES are investigated. Following usual practice, 99% 10 day VaR and ES measures are calculated. A comprehensive theoretical background is first provided and then the models are applied to the Africa Financials Index from 29/01/1996 to 30/04/2013. The models considered include indepen

APA, Harvard, Vancouver, ISO, and other styles

12

Schäfer, Carsten. "Asset Dividing Appraisal Model (ADAM) - Direct Real Estate Investment Evaluation." Doctoral thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-191784.

Full text

Abstract:

The Asset Dividing Appraisal Model (ADAM) enables the appraisal of cash flows resulting from direct real estate investments. The model is an evaluation tool, which takes capital markets and the specific characteristics of real estate as an asset (heterogeneity, site-dependency, eternal land-yield, etc.) into consideration, while also considering different ownership approaches of real estate in the European Union. Thus, it contributes to the harmonization of capital markets and of direct real estate investment evaluation as intended by the "European Directive on Markets in Financial Instruments

APA, Harvard, Vancouver, ISO, and other styles

13

Guedes, Maria do Carmo Vaz de Miranda. "Mathematical models in capital investment appraisal." Thesis, University of Warwick, 1988. http://wrap.warwick.ac.uk/107492/.

Full text

APA, Harvard, Vancouver, ISO, and other styles

14

Saboo, Jai Vardhan. "An investment analysis model using fuzzy set theory." Thesis, Virginia Polytechnic Institute and State University, 1989. http://hdl.handle.net/10919/50087.

Full text

Abstract:

Traditional methods for evaluating investments in state-of-the-art technology are sometimes found lacking in providing equitable recommendations for project selection. The major cause for this is the inability of these methods to handle adequately uncertainty and imprecision, and account for every aspect of the project, economic and non-economic, tangible and intangible. Fuzzy set theory provides an alternative to probability theory for handling uncertainty, while at the same time being able to handle imprecision. It also provides a means of closing the gap between the human thought process an

APA, Harvard, Vancouver, ISO, and other styles

15

Rodriguez, Javier A. "Capacity expansion and capital investment decisions using the Economic Investment Time Model : a case oriented approach /." Thesis, This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-07292009-090518/.

Full text

APA, Harvard, Vancouver, ISO, and other styles

16

Wei, Yong, and 卫勇. "The real effects of S&P 500 Index additions: evidence from corporate investment." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B4490681X.

Full text

APA, Harvard, Vancouver, ISO, and other styles

17

Moyen, Nathalie. "Financing investment with external funds." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0019/NQ46396.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

18

Li, Nan. "Mathematical Models and Numerical Methods for Pricing Options on Investment Projects under Uncertainties." Thesis, Curtin University, 2020. http://hdl.handle.net/20.500.11937/83866.

Full text

Abstract:

In this work, we focus on establishing partial differential equation (PDE) models for pricing flexibility options on investment projects under uncertainties and numerical methods for solving these models. we develop a finite difference method and an advanced fitted finite volume scheme and combine with an interior penalty method, as well as their convergence analyses, to solve the PDE and LCP models developed. The MATLAB program is for implementing testing the models of numerical algorithms developed.

APA, Harvard, Vancouver, ISO, and other styles

19

Roschat, Christina [Verfasser]. "Mathematical Analysis of Marine Ecosystem Models / Christina Roschat." Kiel : Universitätsbibliothek Kiel, 2016. http://d-nb.info/1111558604/34.

Full text

APA, Harvard, Vancouver, ISO, and other styles

20

Keita, Sana. "Eulerian Droplet Models: Mathematical Analysis, Improvement and Applications." Thesis, Université d'Ottawa / University of Ottawa, 2018. http://hdl.handle.net/10393/37907.

Full text

Abstract:

The Eulerian description of dispersed two-phase flows results in a system of partial differential equations describing characteristics of the flow, namely volume fraction, density and velocity of the two phases, around any point in space over time. When pressure forces are neglected or a same pressure is considered for both phases, the resulting system is weakly hyperbolic and solutions may exhibit vacuum states (regions void of the dispersed phase) or localized unbounded singularities (delta shocks) that are not physically desirable. Therefore, it is crucial to find a physical way for pr

APA, Harvard, Vancouver, ISO, and other styles

21

Racheal, Cooper. "Analysis of Mathematical Models of the Human Lung." VCU Scholars Compass, 2013. http://scholarscompass.vcu.edu/etd/3289.

Full text

Abstract:

The processes of lung ventilation and perfusion, diffusion, and gas transport make up the system of breathing and tissue oxygenation. Here, we present several mathematical formulations of the essential processes that contribute to breathing. These models aid in our understanding and analysis of this complex system and can be used to form treatments for patients on ventilators. With the right analysis and treatment options, patients can be helped and money can be saved. We conclude with the formulation of a mathematical model for the exchange of gasses in the body based on basic reaction kineti

APA, Harvard, Vancouver, ISO, and other styles

22

van, Schalkwyk Garth. "Mathematical models for optimal management of bank capital, reserves and liquidity." University of the Western Cape, 2019. http://hdl.handle.net/11394/6643.

Full text

Abstract:

Philosophiae Doctor - PhD<br>The aim of this study is to construct and propose continuous-time mathematical models for optimal management of bank capital, reserves and liquidity. This aim emanates from the global financial crisis of 2007 − 2009. In this regard and as a first task, our objective is to determine an optimal investment strategy for a commercial bank subject to capital requirements as prescribed by the Basel III Accord. In particular, the objective of the aforementioned problem is to maximize the expected return on the bank capital portfolio and minimize the variance of the t

APA, Harvard, Vancouver, ISO, and other styles

23

Chavanasporn, Walailuck. "Application of stochastic differential equations and real option theory in investment decision problems." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/1691.

Full text

Abstract:

This thesis contains a discussion of four problems arising from the application of stochastic differential equations and real option theory to investment decision problems in a continuous-time framework. It is based on four papers written jointly with the author’s supervisor. In the first problem, we study an evolutionary stock market model in a continuous-time framework where uncertainty in dividends is produced by a single Wiener process. The model is an adaptation to a continuous-time framework of a discrete evolutionary stock market model developed by Evstigneev, Hens and Schenk-Hoppé (20

APA, Harvard, Vancouver, ISO, and other styles

24

Wu, Guangxi. "Sensitivity and uncertainty analysis of subsurface drainage design." Thesis, University of British Columbia, 1988. http://hdl.handle.net/2429/28529.

Full text

Abstract:

Literature on subsurface drainage theories, determination of drainage parameters, and analysis approaches of uncertainty was reviewed. Sensitivity analysis was carried out on drain spacing equations for steady state and nonsteady state, in homogeneous soils and in layered soils. It was found that drain spacing is very sensitive to the hydraulic conductivity, the drainage coefficient, and the design midspan water table height. Spacing is not sensitive to the depth of the impermeable layer and the drain radius. In transient state, spacing is extremely sensitive to the midspan water table height

APA, Harvard, Vancouver, ISO, and other styles

25

El-Hachem, Maud. "Mathematical models of biological invasion." Thesis, Queensland University of Technology, 2022. https://eprints.qut.edu.au/232864/1/Maud_El-Hachem_Thesis.pdf.

Full text

Abstract:

This thesis studies mathematical models of a population of cells invading the surrounding environment or another living population. A classical single-species model is reformulated using a moving boundary to track the position of the moving front of the invading population. The moving boundary is also used to separate two populations. Other models studied are coupled partial differential equations to describe the interaction of a population with another one. Different types of interaction are represented: the degradation of healthy skin by cancer and the growth of bone tissue on substrate.

APA, Harvard, Vancouver, ISO, and other styles

26

Guo, Miin Hong. "Differential earnings response coefficients to accounting information: The case of revisions of financial analysts' forecasts." Diss., The University of Arizona, 1989. http://hdl.handle.net/10150/184712.

Full text

Abstract:

This dissertation extends previous studies on firms' differential earnings response coefficients. It provides further theoretical explanation and empirical evidence for the differential earnings response coefficients across firms and time. The empirical evidence found by Ball & Brown (1968) that the sign of unexpected earnings is positively correlated with the sign of market reactions is used to improve the control of measurement errors on investors' prior belief. Revisions of financial analysts' forecasts (FAFs) for firms' future earnings per share (EPS) are used as the event information.

APA, Harvard, Vancouver, ISO, and other styles

27

廖智生 and Chi-sang Liu. "A study of optimal investment strategy for insurance portfolio." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B31227636.

Full text

APA, Harvard, Vancouver, ISO, and other styles

28

Harris, David Wayne. "A degradation analysis methodology for maintenance tasks." Thesis, Georgia Institute of Technology, 1985. http://hdl.handle.net/1853/24867.

Full text

APA, Harvard, Vancouver, ISO, and other styles

29

Mercurio, Matthew Forrest. "Divider analysis of drainage divides delineated at the field scale." Virtual Press, 2004. http://liblink.bsu.edu/uhtbin/catkey/1306855.

Full text

Abstract:

Previous works have applied the Divider Method to the shapes of drainage divides as measured from maps. This study focuses on the shapes of several drainage divides measured in the field at very fine scale. These divides, chosen for their sharp crests, include portions of the Continental Divide in Colorado and badlands-type divides in Arizona, Wyoming, South Dakota, and Texas. The badlands type divides were delineated using a laser theodolite to collect data at decimeter point spacing, and the Continental Divide segments were delineated using pace and bearing at a constant point spacing of 30

APA, Harvard, Vancouver, ISO, and other styles

30

Beckham, Jon Regan. "Analysis of mathematical models of electrostatically deformed elastic bodies." Access to citation, abstract and download form provided by ProQuest Information and Learning Company; downloadable PDF file, 169 p, 2008. http://proquest.umi.com/pqdweb?did=1475178561&sid=27&Fmt=2&clientId=8331&RQT=309&VName=PQD.

Full text

APA, Harvard, Vancouver, ISO, and other styles

31

Tumanova, Natalija. "The Numerical Analysis of Nonlinear Mathematical Models on Graphs." Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2012. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2012~D_20120720_121648-24321.

Full text

Abstract:

The numerical algorithms for non-stationary mathematical models in non-standard domains are investigated in the dissertation. The problem definition domain is represented by branching structures with conjugation equations considered at the branching points. The numerical analysis of the conjugation equations and non-classical boundary conditions distinguish considered problems among the classical problems of mathematical physics presented in the literature. The scope of the dissertation covers the investigation of stability and convergence of the numerical algorithms on branching structures wi

APA, Harvard, Vancouver, ISO, and other styles

32

Chiang, T. "Mathematical and statistical models for the analysis of protein." Thesis, University of Cambridge, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.597600.

Full text

Abstract:

Protein interactions, both amongst themselves and with other molecules, are responsible for much of the work within the cellular machine. As the number of protein interaction data sets grow in number and in size, from experiments such as Yeast 2-Hybrid or Affinity Purification followed by Mass Spectrometry, there is a need to analyse the data both quantitatively and qualitatively. One area of research is determining how reliable a report of a protein interaction is – whether it could be reproduced if the experiment were repeated, or if it were tested using an independent assay. One might aim t

APA, Harvard, Vancouver, ISO, and other styles

33

De, la Harpe Alana. "A comparative analysis of mathematical models for HIV epidemiology." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96983.

Full text

Abstract:

Thesis (MSc)--Stellenbosch University, 2015.<br>ENGLISH ABSTRACT: HIV infection is one of the world’s biggest health problems, with millions of people infected worldwide. HIV infects cells in the immune system, where it primarily targets CD4+ T helper cells and without treatment, the disease leads to the collapse of the host immune system and ultimately death. Mathematical models have been used extensively to study the epidemiology of HIV/AIDS. They have proven to be effective tools in studying the transmission dynamics of HIV. These models provide predictions that can help better our un

APA, Harvard, Vancouver, ISO, and other styles

34

Serkov, S. K. "Asymptotic analysis of mathematical models for elastic composite media." Thesis, University of Bath, 1998. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.390311.

Full text

APA, Harvard, Vancouver, ISO, and other styles

35

Lee, M. E. M. "Mathematical models of the carding process." Thesis, University of Oxford, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.249543.

Full text

Abstract:

Carding is an essential pre-spinning process whereby masses of dirty tufted fibres are cleaned, disentangled and refined into a smooth coherent web. Research and development in this `low-technology' industry have hitherto depended on empirical evidence. In collaboration with the School of Textile Industries at the University of Leeds, a mathematical theory has been developed that describes the passage of fibres through the carding machine. The fibre dynamics in the carding machine are posed, modelled and simulated by three distinct physical problems: the journey of a single fibre, the extracti

APA, Harvard, Vancouver, ISO, and other styles

36

Crawford, David Michael. "Analysis of biological pattern formation models." Thesis, University of Oxford, 1989. http://ora.ox.ac.uk/objects/uuid:aaa19d3b-c930-4cfa-adc6-8ea498fa5695.

Full text

Abstract:

In this thesis we examine mathematical models which have been suggested as possibile mechanisms for forming certain biological patterns. We analyse them in detail attempting to produce the requisite patterns both analytically and numerically. A reaction diffusion system in two spatial dimensions with anisotropic diffusion is examined in detail and the results compared with certain snakeskin patterns. We examine two other variants to the standard reaction diffusion system: a system where the reaction kinetics and the diffusion coefficients depend upon the cell density suggested as a possible mo

APA, Harvard, Vancouver, ISO, and other styles

37

Hakami, Amir. "Direct sensitivity analysis in air quality models." Diss., Available online, Georgia Institute of Technology, 2004:, 2003. http://etd.gatech.edu/theses/available/etd-04082004-180202/unrestricted/hakami%5Famir%5F200312%5Fphd.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

38

Akileh, Aiman R. "Elastic-plastic analysis of axisymmetrically loaded isotropic circular and annular plates undergoing large deflections." PDXScholar, 1986. https://pdxscholar.library.pdx.edu/open_access_etds/3559.

Full text

Abstract:

The concept of load analogy is used in the elastic and elastic-plastic analysis of isotropic circular and annular plates undergoing moderately large deflection. The effects of the nonlinear terms of lateral displacement and the plastic strains are considered as additional fictitious lateral loads, edge moments, and in-plane forces acting on the plate. The solution of an elastic or elastic-plastic Von Karman type plate is hence reduced to a set of two equivalent elastic plate problems with small displacements, namely, a plane problem in elasticity and a linear elastic plate bending problem. The

APA, Harvard, Vancouver, ISO, and other styles

39

Galagedera, Don U. A. "Investment performance appraisal and asset pricing models." Monash University, Dept. of Econometrics and Business Statistics, 2003. http://arrow.monash.edu.au/hdl/1959.1/5780.

Full text

APA, Harvard, Vancouver, ISO, and other styles

40

Sood, Premlata Khetan. "Profit sharing, unemployment, and inflation in Canada : a simulation analysis." Thesis, McGill University, 1996. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=34459.

Full text

Abstract:

The thesis examines the impact of a partial switch to a share system in Canada on unemployment and inflation. Simulations with an independent Canadian macro model and Canadian data for the period 1973-1983 show that profit sharing will not always resolve unemployment and inflation, as claimed by Martin Weitzman. Some combinations of the share parameters resolve them, while others aggravate them. Thus, the combinations of the share parameters play a key role in terms of impact of the profit sharing on unemployment and inflation.

APA, Harvard, Vancouver, ISO, and other styles

41

Khalilzadeh, Amir Hossein. "Variance Dependent Pricing Kernels in GARCH Models." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-180373.

Full text

APA, Harvard, Vancouver, ISO, and other styles

42

"Multi-period cooperative investment game with risk." 2008. http://library.cuhk.edu.hk/record=b5893772.

Full text

Abstract:

Zhou, Ying.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.<br>Includes bibliographical references (leaves 89-91).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Background --- p.1<br>Chapter 1.2 --- Aims and objectives --- p.2<br>Chapter 1.3 --- Outline of the thesis --- p.3<br>Chapter 2 --- Literature Review --- p.6<br>Chapter 2.1 --- Portfolio Optimization Problems --- p.6<br>Chapter 2.2 --- Cooperative Games and Cooperative Investment Models --- p.8<br>Chapter 2.2.1 --- Linear Production Games And Basic Concepts of Co- opera

APA, Harvard, Vancouver, ISO, and other styles

43

"Models of multi-period cooperative re-investment games." 2010. http://library.cuhk.edu.hk/record=b5894494.

Full text

Abstract:

Liu, Weiyang.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2010.<br>Includes bibliographical references (p. 111-113).<br>Abstracts in English and Chinese.<br>Abstract --- p.i<br>Acknowledgement --- p.iii<br>Chapter 1 --- Introduction and Literature Review --- p.1<br>Chapter 1.1 --- Introduction --- p.1<br>Chapter 1.1.1 --- Background and Motivating examples --- p.2<br>Chapter 1.1.2 --- Basic Concepts --- p.4<br>Chapter 1.1.3 --- Outline of the thesis --- p.6<br>Chapter 1.2 --- Literature Review --- p.8<br>Chapter 2 --- Multi-period Cooperative Re-investment Games: The Basic Mo

APA, Harvard, Vancouver, ISO, and other styles

44

Shen, Weiwei. "Portfolio optimization with transaction costs and capital gain taxes." Thesis, 2014. https://doi.org/10.7916/D8PK0D76.

Full text

Abstract:

This thesis is concerned with a new computational study of optimal investment decisions with proportional transaction costs or capital gain taxes over multiple periods. The decisions are studied for investors who have access to a risk-free asset and multiple risky assets to maximize the expected utility of terminal wealth. The risky asset returns are modeled by a discrete-time multivariate geometric Brownian motion. As in the model in Davis and Norman (1990) and Lynch and Tan (2010), the transaction cost is modeled to be proportional to the amount of transferred wealth. As in the model in Damm

APA, Harvard, Vancouver, ISO, and other styles

45

Azimi-Zonooz, Aydeen. "A power comparison of mutual fund timing and selectivity models under varying portfolio and market conditions." Thesis, 1992. http://hdl.handle.net/1957/36490.

Full text

Abstract:

The goal of this study is to test the accuracy of various mutual fund timing and selectivity models under a range of portfolio managerial skills and varying market conditions. Portfolio returns in a variety of skill environments are generated using a simulation procedure. The generated portfolio returns are based on the historical patterns and time series behavior of a market portfolio proxy and on a sample of mutual funds. The proposed timing and selectivity portfolio returns mimic the activities of actual mutual fund managers who possess varying degrees of skill. Using the constructed portfo

APA, Harvard, Vancouver, ISO, and other styles

46

"Dynamic portfolio analysis: mean-variance formulation and iterative parametric dynamic programming." 1998. http://library.cuhk.edu.hk/record=b5889737.

Full text

Abstract:

by Wan-Lung Ng.<br>Thesis submitted in: November 1997.<br>On added t.p.: January 19, 1998.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaves 114-119).<br>Abstract also in Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Overview --- p.1<br>Chapter 1.2 --- Organization Outline --- p.5<br>Chapter 2 --- Literature Review --- p.7<br>Chapter 2.1 --- Modern Portfolio Theory --- p.7<br>Chapter 2.1.1 --- Mean-Variance Model --- p.9<br>Chapter 2.1.2 --- Setting-up the relationship between the portfolio and its component sec

APA, Harvard, Vancouver, ISO, and other styles

47

"Online banking investment decision with real option pricing analysis." 2001. http://library.cuhk.edu.hk/record=b5890704.

Full text

Abstract:

Chu Chun-fai, Carlin.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.<br>Includes bibliographical references (leaves 69-73).<br>Abstracts in English and Chinese.<br>Chapter Part I: --- INTRODUCTION --- p.1<br>Chapter Part II: --- LITERATURE REVIEW --- p.4<br>Chapter - --- Financial option-pricing theory<br>Chapter - --- Real option-pricing theory<br>Chapter - --- Real option-pricing theory in Management Information System Area<br>Chapter Part III: --- CASE BACKGROUND --- p.14<br>Chapter - --- Case Background<br>Chapter - --- Availability of online banking services in Hong Kong<b

APA, Harvard, Vancouver, ISO, and other styles

48

"Value-at-risk analysis of portfolio return model using independent component analysis and Gaussian mixture model." 2004. http://library.cuhk.edu.hk/record=b5892248.

Full text

Abstract:

Sen Sui.<br>Thesis submitted in: August 2003.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.<br>Includes bibliographical references (leaves 88-92).<br>Abstracts in English and Chinese.<br>Abstract --- p.ii<br>Acknowledgement --- p.iv<br>Dedication --- p.v<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Motivation and Objective --- p.1<br>Chapter 1.2 --- Contributions --- p.4<br>Chapter 1.3 --- Thesis Organization --- p.5<br>Chapter 2 --- Background of Risk Management --- p.7<br>Chapter 2.1 --- Measuring Return --- p.8<br>Chapter 2.2 --- Objectives of Risk Measure

APA, Harvard, Vancouver, ISO, and other styles

49

Drienko, Jozef. "Testing asset pricing models using market expectations." Phd thesis, 2013. http://hdl.handle.net/1885/150890.

Full text

Abstract:

We investigate the use of market-based expectations to test the CAPM and the conditional CAPM using a generalised method of moments framework. This method is valid under much weaker distributional assumptions and provides the procedure with robustness that commonly employed tests lack. Expected returns are derived from projected price levels of individual securities that are supplied in the form of twelve{u00AD}month consensus (median) target price forecasts. The annual forecasts, updated each month, are combined with dividend expectations to calculate the necessary time series of continuous e

APA, Harvard, Vancouver, ISO, and other styles

50

"Multi-period portfolio optimization." Thesis, 2009. http://library.cuhk.edu.hk/record=b6074946.

Full text

Abstract:

In this thesis, we focus our study on the multi-period portfolio selection problems with different investment conditions. We first analyze the mean-variance multi-period portfolio selection problem with stochastic investment horizon. It is often the case that some unexpected endogenous and exogenous events may force an investor to terminate her investment and leave the market. We give the assumption that the uncertain investment horizon follows a given stochastic process. By making use of the embedding technique of Li and Ng (2000), the original nonseparable problem can be solved by solving an

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!