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Hong Kong University of Science and Technology

1.
Zou, Teng.
A solution to the two country *portfolio* problems.

Degree: 2014, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1334525 ; http://repository.ust.hk/ir/bitstream/1783.1-71718/1/th_redirect.html

► In this paper, the method introduced by Devereux, M. B. and Sutherland, A. is applied to solve the *portfolio* problem in a two goods and…
(more)

Subjects/Keywords: Portfolio management; Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Zou, T. (2014). A solution to the two country portfolio problems. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1334525 ; http://repository.ust.hk/ir/bitstream/1783.1-71718/1/th_redirect.html

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Zou, Teng. “A solution to the two country portfolio problems.” 2014. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b1334525 ; http://repository.ust.hk/ir/bitstream/1783.1-71718/1/th_redirect.html.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Zou, Teng. “A solution to the two country portfolio problems.” 2014. Web. 20 Sep 2019.

Vancouver:

Zou T. A solution to the two country portfolio problems. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2014. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b1334525 ; http://repository.ust.hk/ir/bitstream/1783.1-71718/1/th_redirect.html.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zou T. A solution to the two country portfolio problems. [Thesis]. Hong Kong University of Science and Technology; 2014. Available from: https://doi.org/10.14711/thesis-b1334525 ; http://repository.ust.hk/ir/bitstream/1783.1-71718/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

2. Zhou, Ti. Term structure of recession probabilities and the cross section of asset returns.

Degree: 2016, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1628023 ; http://repository.ust.hk/ir/bitstream/1783.1-87050/1/th_redirect.html

► The duration of business cycles, especially recessions, is time-varying, generating time-varying investor concern about future recessions. This paper studies a new macro-factor model that links…
(more)

Subjects/Keywords: Portfolio management; Mathematical models

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Zhou, T. (2016). Term structure of recession probabilities and the cross section of asset returns. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1628023 ; http://repository.ust.hk/ir/bitstream/1783.1-87050/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Zhou, Ti. “Term structure of recession probabilities and the cross section of asset returns.” 2016. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b1628023 ; http://repository.ust.hk/ir/bitstream/1783.1-87050/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Zhou, Ti. “Term structure of recession probabilities and the cross section of asset returns.” 2016. Web. 20 Sep 2019.

Vancouver:

Zhou T. Term structure of recession probabilities and the cross section of asset returns. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2016. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b1628023 ; http://repository.ust.hk/ir/bitstream/1783.1-87050/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhou T. Term structure of recession probabilities and the cross section of asset returns. [Thesis]. Hong Kong University of Science and Technology; 2016. Available from: https://doi.org/10.14711/thesis-b1628023 ; http://repository.ust.hk/ir/bitstream/1783.1-87050/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

University of Hong Kong

3.
黃國全; Wong, Kwok-chuen.
Mean variance *portfolio* *management* : time consistent
approach.

Degree: M. Phil., 2013, University of Hong Kong

URL: Wong, K. [黃國全]. (2013). Mean variance portfolio management : time consistent approach. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5153743 ; http://dx.doi.org/10.5353/th_b5153743 ; http://hdl.handle.net/10722/196026

► In this thesis, two problems of time consistent mean-variance *portfolio* selection have been studied: mean-variance asset-liability *management* with regime switchings and mean-variance optimization with state-dependent…
(more)

Subjects/Keywords: Portfolio management - Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

黃國全; Wong, K. (2013). Mean variance portfolio management : time consistent approach. (Masters Thesis). University of Hong Kong. Retrieved from Wong, K. [黃國全]. (2013). Mean variance portfolio management : time consistent approach. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5153743 ; http://dx.doi.org/10.5353/th_b5153743 ; http://hdl.handle.net/10722/196026

Chicago Manual of Style (16^{th} Edition):

黃國全; Wong, Kwok-chuen. “Mean variance portfolio management : time consistent approach.” 2013. Masters Thesis, University of Hong Kong. Accessed September 20, 2019. Wong, K. [黃國全]. (2013). Mean variance portfolio management : time consistent approach. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5153743 ; http://dx.doi.org/10.5353/th_b5153743 ; http://hdl.handle.net/10722/196026.

MLA Handbook (7^{th} Edition):

黃國全; Wong, Kwok-chuen. “Mean variance portfolio management : time consistent approach.” 2013. Web. 20 Sep 2019.

Vancouver:

黃國全; Wong K. Mean variance portfolio management : time consistent approach. [Internet] [Masters thesis]. University of Hong Kong; 2013. [cited 2019 Sep 20]. Available from: Wong, K. [黃國全]. (2013). Mean variance portfolio management : time consistent approach. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5153743 ; http://dx.doi.org/10.5353/th_b5153743 ; http://hdl.handle.net/10722/196026.

Council of Science Editors:

黃國全; Wong K. Mean variance portfolio management : time consistent approach. [Masters Thesis]. University of Hong Kong; 2013. Available from: Wong, K. [黃國全]. (2013). Mean variance portfolio management : time consistent approach. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5153743 ; http://dx.doi.org/10.5353/th_b5153743 ; http://hdl.handle.net/10722/196026

Hong Kong University of Science and Technology

4.
Ding, Yi.
High dimensional minimum variance *portfolio* under factor model.

Degree: 2017, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-991012565062003412 ; http://repository.ust.hk/ir/bitstream/1783.1-91279/1/th_redirect.html

► In this paper, we study the high dimensional minimum variance *portfolio* (MVP) problem under approximate factor *models*. We extend the theoretical results of POET covariance…
(more)

Subjects/Keywords: Portfolio management; Mathematical models; Investments

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Ding, Y. (2017). High dimensional minimum variance portfolio under factor model. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-991012565062003412 ; http://repository.ust.hk/ir/bitstream/1783.1-91279/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Ding, Yi. “High dimensional minimum variance portfolio under factor model.” 2017. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-991012565062003412 ; http://repository.ust.hk/ir/bitstream/1783.1-91279/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Ding, Yi. “High dimensional minimum variance portfolio under factor model.” 2017. Web. 20 Sep 2019.

Vancouver:

Ding Y. High dimensional minimum variance portfolio under factor model. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2017. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-991012565062003412 ; http://repository.ust.hk/ir/bitstream/1783.1-91279/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ding Y. High dimensional minimum variance portfolio under factor model. [Thesis]. Hong Kong University of Science and Technology; 2017. Available from: https://doi.org/10.14711/thesis-991012565062003412 ; http://repository.ust.hk/ir/bitstream/1783.1-91279/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

University of Hong Kong

5. 刘彬彬; Liu, Binbin. Some topics in risk theory and optimal capital allocation problems.

Degree: PhD, 2012, University of Hong Kong

URL: Liu, B. [刘彬彬]. (2012). Some topics in risk theory and optimal capital allocation problems. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4819929 ; http://dx.doi.org/10.5353/th_b4819929 ; http://hdl.handle.net/10722/167205

►

In recent years, the Markov Regime-Switching model and the class of Archimedean copulas have been widely applied to a variety of finance-related fields. The Markov… (more)

Subjects/Keywords: Portfolio management - Mathematical models.; Risk management - Mathematical models.; Investments - Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

刘彬彬; Liu, B. (2012). Some topics in risk theory and optimal capital allocation problems. (Doctoral Dissertation). University of Hong Kong. Retrieved from Liu, B. [刘彬彬]. (2012). Some topics in risk theory and optimal capital allocation problems. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4819929 ; http://dx.doi.org/10.5353/th_b4819929 ; http://hdl.handle.net/10722/167205

Chicago Manual of Style (16^{th} Edition):

刘彬彬; Liu, Binbin. “Some topics in risk theory and optimal capital allocation problems.” 2012. Doctoral Dissertation, University of Hong Kong. Accessed September 20, 2019. Liu, B. [刘彬彬]. (2012). Some topics in risk theory and optimal capital allocation problems. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4819929 ; http://dx.doi.org/10.5353/th_b4819929 ; http://hdl.handle.net/10722/167205.

MLA Handbook (7^{th} Edition):

刘彬彬; Liu, Binbin. “Some topics in risk theory and optimal capital allocation problems.” 2012. Web. 20 Sep 2019.

Vancouver:

刘彬彬; Liu B. Some topics in risk theory and optimal capital allocation problems. [Internet] [Doctoral dissertation]. University of Hong Kong; 2012. [cited 2019 Sep 20]. Available from: Liu, B. [刘彬彬]. (2012). Some topics in risk theory and optimal capital allocation problems. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4819929 ; http://dx.doi.org/10.5353/th_b4819929 ; http://hdl.handle.net/10722/167205.

Council of Science Editors:

刘彬彬; Liu B. Some topics in risk theory and optimal capital allocation problems. [Doctoral Dissertation]. University of Hong Kong; 2012. Available from: Liu, B. [刘彬彬]. (2012). Some topics in risk theory and optimal capital allocation problems. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4819929 ; http://dx.doi.org/10.5353/th_b4819929 ; http://hdl.handle.net/10722/167205

Hong Kong University of Science and Technology

6.
Hu, Zhiwei.
Market model for *portfolio* credit derivatives.

Degree: 2009, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1070102 ; http://repository.ust.hk/ir/bitstream/1783.1-6223/1/th_redirect.html

► This thesis develops a market model with jump-diffusion dynamics for pricing *portfolio* credit derivatives. The state variables of the market model are mean loss rates,…
(more)

Subjects/Keywords: Credit – Mathematical models; Credit derivatives – Mathematical models; Portfolio management – Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Hu, Z. (2009). Market model for portfolio credit derivatives. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1070102 ; http://repository.ust.hk/ir/bitstream/1783.1-6223/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Hu, Zhiwei. “Market model for portfolio credit derivatives.” 2009. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b1070102 ; http://repository.ust.hk/ir/bitstream/1783.1-6223/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Hu, Zhiwei. “Market model for portfolio credit derivatives.” 2009. Web. 20 Sep 2019.

Vancouver:

Hu Z. Market model for portfolio credit derivatives. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2009. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b1070102 ; http://repository.ust.hk/ir/bitstream/1783.1-6223/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hu Z. Market model for portfolio credit derivatives. [Thesis]. Hong Kong University of Science and Technology; 2009. Available from: https://doi.org/10.14711/thesis-b1070102 ; http://repository.ust.hk/ir/bitstream/1783.1-6223/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

7.
Ao, Mengmeng.
Large *portfolio* selection under mean-variance framework.

Degree: 2016, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1610631 ; http://repository.ust.hk/ir/bitstream/1783.1-82343/1/th_redirect.html

► This thesis focuses on *portfolio* selection problems under the classic mean-variance framework proposed by Markowitz (1952). The "curse of dimensionality" brings new difficulties to Markowitz…
(more)

Subjects/Keywords: Portfolio management; Mathematical models; Regression analysis

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Ao, M. (2016). Large portfolio selection under mean-variance framework. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1610631 ; http://repository.ust.hk/ir/bitstream/1783.1-82343/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Ao, Mengmeng. “Large portfolio selection under mean-variance framework.” 2016. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b1610631 ; http://repository.ust.hk/ir/bitstream/1783.1-82343/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Ao, Mengmeng. “Large portfolio selection under mean-variance framework.” 2016. Web. 20 Sep 2019.

Vancouver:

Ao M. Large portfolio selection under mean-variance framework. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2016. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b1610631 ; http://repository.ust.hk/ir/bitstream/1783.1-82343/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ao M. Large portfolio selection under mean-variance framework. [Thesis]. Hong Kong University of Science and Technology; 2016. Available from: https://doi.org/10.14711/thesis-b1610631 ; http://repository.ust.hk/ir/bitstream/1783.1-82343/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

8.
Qu, Chengeng.
* Portfolio* allocation using power enhancement method.

Degree: 2016, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1628031 ; http://repository.ust.hk/ir/bitstream/1783.1-87044/1/th_redirect.html

► Big alpha equities are highly desirable in various financial applications. A Power Enhancement Method can be used to detect big alpha stocks. In this paper,…
(more)

Subjects/Keywords: Portfolio management; Mathematical models; Markov processes

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Qu, C. (2016). Portfolio allocation using power enhancement method. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1628031 ; http://repository.ust.hk/ir/bitstream/1783.1-87044/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Qu, Chengeng. “Portfolio allocation using power enhancement method.” 2016. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b1628031 ; http://repository.ust.hk/ir/bitstream/1783.1-87044/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Qu, Chengeng. “Portfolio allocation using power enhancement method.” 2016. Web. 20 Sep 2019.

Vancouver:

Qu C. Portfolio allocation using power enhancement method. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2016. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b1628031 ; http://repository.ust.hk/ir/bitstream/1783.1-87044/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Qu C. Portfolio allocation using power enhancement method. [Thesis]. Hong Kong University of Science and Technology; 2016. Available from: https://doi.org/10.14711/thesis-b1628031 ; http://repository.ust.hk/ir/bitstream/1783.1-87044/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

9. Wang, Yihua. Enhanced creditrisk+ : applications and comparison.

Degree: 2010, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1106710 ; http://repository.ust.hk/ir/bitstream/1783.1-6763/1/th_redirect.html

► CreditRisk+ is one of the most widely implemented credit *portfolio* *models*. The independent factor assumption in the original model proposed by Credit Suisse First Boston…
(more)

Subjects/Keywords: Credit – Management – Mathematical models; Risk management – Mathematical models; Portfolio management – Mathematical models

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Wang, Y. (2010). Enhanced creditrisk+ : applications and comparison. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1106710 ; http://repository.ust.hk/ir/bitstream/1783.1-6763/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Wang, Yihua. “Enhanced creditrisk+ : applications and comparison.” 2010. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b1106710 ; http://repository.ust.hk/ir/bitstream/1783.1-6763/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Wang, Yihua. “Enhanced creditrisk+ : applications and comparison.” 2010. Web. 20 Sep 2019.

Vancouver:

Wang Y. Enhanced creditrisk+ : applications and comparison. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2010. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b1106710 ; http://repository.ust.hk/ir/bitstream/1783.1-6763/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang Y. Enhanced creditrisk+ : applications and comparison. [Thesis]. Hong Kong University of Science and Technology; 2010. Available from: https://doi.org/10.14711/thesis-b1106710 ; http://repository.ust.hk/ir/bitstream/1783.1-6763/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

10.
Feng, Yiyong.
Convex optimization methods for financial engineering : *portfolio* design and order execution.

Degree: 2015, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1514525 ; http://repository.ust.hk/ir/bitstream/1783.1-81959/1/th_redirect.html

► *Portfolio* risk *management* and algorithmic trading are active research areas and have received extensive attention and interest. The former is attached of great importance after…
(more)

Subjects/Keywords: Portfolio management; Mathematical models; Investments; Risk management; Mathematical optimization; Convex functions

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Feng, Y. (2015). Convex optimization methods for financial engineering : portfolio design and order execution. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1514525 ; http://repository.ust.hk/ir/bitstream/1783.1-81959/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Feng, Yiyong. “Convex optimization methods for financial engineering : portfolio design and order execution.” 2015. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b1514525 ; http://repository.ust.hk/ir/bitstream/1783.1-81959/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Feng, Yiyong. “Convex optimization methods for financial engineering : portfolio design and order execution.” 2015. Web. 20 Sep 2019.

Vancouver:

Feng Y. Convex optimization methods for financial engineering : portfolio design and order execution. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2015. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b1514525 ; http://repository.ust.hk/ir/bitstream/1783.1-81959/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Feng Y. Convex optimization methods for financial engineering : portfolio design and order execution. [Thesis]. Hong Kong University of Science and Technology; 2015. Available from: https://doi.org/10.14711/thesis-b1514525 ; http://repository.ust.hk/ir/bitstream/1783.1-81959/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

11.
Wang, Tian.
* Portfolio* optimization based on random matrix theory.

Degree: 2010, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1106644 ; http://repository.ust.hk/ir/bitstream/1783.1-6761/1/th_redirect.html

► In modern *portfolio* theory, the covariance matrices of *portfolio* asset returns are always needed for different reasons in the design process. Indeed, the problem of…
(more)

Subjects/Keywords: Random matrices; Portfolio management – Mathematical models; Mathematical optimization

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Wang, T. (2010). Portfolio optimization based on random matrix theory. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1106644 ; http://repository.ust.hk/ir/bitstream/1783.1-6761/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Wang, Tian. “Portfolio optimization based on random matrix theory.” 2010. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b1106644 ; http://repository.ust.hk/ir/bitstream/1783.1-6761/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Wang, Tian. “Portfolio optimization based on random matrix theory.” 2010. Web. 20 Sep 2019.

Vancouver:

Wang T. Portfolio optimization based on random matrix theory. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2010. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b1106644 ; http://repository.ust.hk/ir/bitstream/1783.1-6761/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang T. Portfolio optimization based on random matrix theory. [Thesis]. Hong Kong University of Science and Technology; 2010. Available from: https://doi.org/10.14711/thesis-b1106644 ; http://repository.ust.hk/ir/bitstream/1783.1-6761/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

12.
Wang, Dexin.
Direct comparison approach to Markov systems and its application to *portfolio* * management*.

Degree: 2011, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1155534 ; http://repository.ust.hk/ir/bitstream/1783.1-7332/1/th_redirect.html

► This thesis is devoted to the extension of the recently developed direct comparison approach from the performance optimization of finite Markov decision processes (MDPs) to…
(more)

Subjects/Keywords: Portfolio management – Mathematical models; Markov processes; Mathematical optimization

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APA (6^{th} Edition):

Wang, D. (2011). Direct comparison approach to Markov systems and its application to portfolio management. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1155534 ; http://repository.ust.hk/ir/bitstream/1783.1-7332/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Wang, Dexin. “Direct comparison approach to Markov systems and its application to portfolio management.” 2011. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b1155534 ; http://repository.ust.hk/ir/bitstream/1783.1-7332/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Wang, Dexin. “Direct comparison approach to Markov systems and its application to portfolio management.” 2011. Web. 20 Sep 2019.

Vancouver:

Wang D. Direct comparison approach to Markov systems and its application to portfolio management. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2011. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b1155534 ; http://repository.ust.hk/ir/bitstream/1783.1-7332/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang D. Direct comparison approach to Markov systems and its application to portfolio management. [Thesis]. Hong Kong University of Science and Technology; 2011. Available from: https://doi.org/10.14711/thesis-b1155534 ; http://repository.ust.hk/ir/bitstream/1783.1-7332/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

13.
Yu, Jian.
Random matrix approach to minimum variance *portfolio* optimization with high frequency data.

Degree: 2013, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1255624 ; http://repository.ust.hk/ir/bitstream/1783.1-62650/1/th_redirect.html

► In modern *portfolio* theory, the accuracy and robustness of the covariance estimator plays a critical role in defining the performance of the optimized portfolios. Traditional…
(more)

Subjects/Keywords: Portfolio management; Mathematical models; Mathematical optimization; Random matrices

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Yu, J. (2013). Random matrix approach to minimum variance portfolio optimization with high frequency data. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1255624 ; http://repository.ust.hk/ir/bitstream/1783.1-62650/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Yu, Jian. “Random matrix approach to minimum variance portfolio optimization with high frequency data.” 2013. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b1255624 ; http://repository.ust.hk/ir/bitstream/1783.1-62650/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Yu, Jian. “Random matrix approach to minimum variance portfolio optimization with high frequency data.” 2013. Web. 20 Sep 2019.

Vancouver:

Yu J. Random matrix approach to minimum variance portfolio optimization with high frequency data. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2013. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b1255624 ; http://repository.ust.hk/ir/bitstream/1783.1-62650/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yu J. Random matrix approach to minimum variance portfolio optimization with high frequency data. [Thesis]. Hong Kong University of Science and Technology; 2013. Available from: https://doi.org/10.14711/thesis-b1255624 ; http://repository.ust.hk/ir/bitstream/1783.1-62650/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Columbia University

14. Bruggeman, Cameron. Dynamics of Large Rank-Based Systems of Interacting Diffusions.

Degree: 2016, Columbia University

URL: https://doi.org/10.7916/D80G3K1G

► We study systems of n dimensional diffusions whose drift and dispersion coefficients depend only on the relative ranking of the processes. We consider the question…
(more)

Subjects/Keywords: Diffusion – Mathematical models; Dispersion – Mathematical models; Porous materials – Mathematical models; Portfolio management – Mathematical models; Diffusion processes; Mathematics; Statistics

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APA (6^{th} Edition):

Bruggeman, C. (2016). Dynamics of Large Rank-Based Systems of Interacting Diffusions. (Doctoral Dissertation). Columbia University. Retrieved from https://doi.org/10.7916/D80G3K1G

Chicago Manual of Style (16^{th} Edition):

Bruggeman, Cameron. “Dynamics of Large Rank-Based Systems of Interacting Diffusions.” 2016. Doctoral Dissertation, Columbia University. Accessed September 20, 2019. https://doi.org/10.7916/D80G3K1G.

MLA Handbook (7^{th} Edition):

Bruggeman, Cameron. “Dynamics of Large Rank-Based Systems of Interacting Diffusions.” 2016. Web. 20 Sep 2019.

Vancouver:

Bruggeman C. Dynamics of Large Rank-Based Systems of Interacting Diffusions. [Internet] [Doctoral dissertation]. Columbia University; 2016. [cited 2019 Sep 20]. Available from: https://doi.org/10.7916/D80G3K1G.

Council of Science Editors:

Bruggeman C. Dynamics of Large Rank-Based Systems of Interacting Diffusions. [Doctoral Dissertation]. Columbia University; 2016. Available from: https://doi.org/10.7916/D80G3K1G

Hong Kong University of Science and Technology

15. Zhang, Dawei MATH. Essays on xVA, wrong-way risks and initial margin : from definition to calculations.

Degree: 2018, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-991012660867703412 ; http://repository.ust.hk/ir/bitstream/1783.1-97467/1/th_redirect.html

► In this thesis, we will redefine the notions of CVA, DVA and FVA and derive the formulae for the rest of xVA as the expected…
(more)

Subjects/Keywords: Derivative securities; Risk management; Mathematical models; Credit; Valuation; Portfolio management

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APA (6^{th} Edition):

Zhang, D. M. (2018). Essays on xVA, wrong-way risks and initial margin : from definition to calculations. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-991012660867703412 ; http://repository.ust.hk/ir/bitstream/1783.1-97467/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Zhang, Dawei MATH. “Essays on xVA, wrong-way risks and initial margin : from definition to calculations.” 2018. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-991012660867703412 ; http://repository.ust.hk/ir/bitstream/1783.1-97467/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Zhang, Dawei MATH. “Essays on xVA, wrong-way risks and initial margin : from definition to calculations.” 2018. Web. 20 Sep 2019.

Vancouver:

Zhang DM. Essays on xVA, wrong-way risks and initial margin : from definition to calculations. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2018. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-991012660867703412 ; http://repository.ust.hk/ir/bitstream/1783.1-97467/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhang DM. Essays on xVA, wrong-way risks and initial margin : from definition to calculations. [Thesis]. Hong Kong University of Science and Technology; 2018. Available from: https://doi.org/10.14711/thesis-991012660867703412 ; http://repository.ust.hk/ir/bitstream/1783.1-97467/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

University of Hong Kong

16.
付君; Fu, Jun.
Asset pricing, hedging and *portfolio*
optimization.

Degree: PhD, 2012, University of Hong Kong

URL: Fu, J. [付君]. (2012). Asset pricing, hedging and portfolio optimization. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4819934 ; http://dx.doi.org/10.5353/th_b4819934 ; http://hdl.handle.net/10722/167210

► Starting from the most famous Black-Scholes model for the underlying asset price, there has been a large variety of extensions made in recent decades. One…
(more)

Subjects/Keywords: Capital assets pricing model.; Hedging (Finance) - Mathematical models.; Portfolio management - Mathematical models.

Record Details Similar Records

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APA (6^{th} Edition):

付君; Fu, J. (2012). Asset pricing, hedging and portfolio optimization. (Doctoral Dissertation). University of Hong Kong. Retrieved from Fu, J. [付君]. (2012). Asset pricing, hedging and portfolio optimization. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4819934 ; http://dx.doi.org/10.5353/th_b4819934 ; http://hdl.handle.net/10722/167210

Chicago Manual of Style (16^{th} Edition):

付君; Fu, Jun. “Asset pricing, hedging and portfolio optimization.” 2012. Doctoral Dissertation, University of Hong Kong. Accessed September 20, 2019. Fu, J. [付君]. (2012). Asset pricing, hedging and portfolio optimization. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4819934 ; http://dx.doi.org/10.5353/th_b4819934 ; http://hdl.handle.net/10722/167210.

MLA Handbook (7^{th} Edition):

付君; Fu, Jun. “Asset pricing, hedging and portfolio optimization.” 2012. Web. 20 Sep 2019.

Vancouver:

付君; Fu J. Asset pricing, hedging and portfolio optimization. [Internet] [Doctoral dissertation]. University of Hong Kong; 2012. [cited 2019 Sep 20]. Available from: Fu, J. [付君]. (2012). Asset pricing, hedging and portfolio optimization. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4819934 ; http://dx.doi.org/10.5353/th_b4819934 ; http://hdl.handle.net/10722/167210.

Council of Science Editors:

付君; Fu J. Asset pricing, hedging and portfolio optimization. [Doctoral Dissertation]. University of Hong Kong; 2012. Available from: Fu, J. [付君]. (2012). Asset pricing, hedging and portfolio optimization. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4819934 ; http://dx.doi.org/10.5353/th_b4819934 ; http://hdl.handle.net/10722/167210

University of Hong Kong

17.
Deng, Hui.
Mean-variance optimal *portfolio* selection with a
value-at-risk constraint.

Degree: M. Phil., 2009, University of Hong Kong

URL: Deng, H. [鄧惠]. (2009). Mean-variance optimal portfolio selection with a value-at-risk constraint. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4189721 ; http://dx.doi.org/10.5353/th_b4189721 ; http://hdl.handle.net/10722/55048

published_or_final_version

Mathematics

Master

Master of Philosophy

Subjects/Keywords: Risk.; Portfolio management - Mathematical models.

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Deng, H. (2009). Mean-variance optimal portfolio selection with a value-at-risk constraint. (Masters Thesis). University of Hong Kong. Retrieved from Deng, H. [鄧惠]. (2009). Mean-variance optimal portfolio selection with a value-at-risk constraint. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4189721 ; http://dx.doi.org/10.5353/th_b4189721 ; http://hdl.handle.net/10722/55048

Chicago Manual of Style (16^{th} Edition):

Deng, Hui. “Mean-variance optimal portfolio selection with a value-at-risk constraint.” 2009. Masters Thesis, University of Hong Kong. Accessed September 20, 2019. Deng, H. [鄧惠]. (2009). Mean-variance optimal portfolio selection with a value-at-risk constraint. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4189721 ; http://dx.doi.org/10.5353/th_b4189721 ; http://hdl.handle.net/10722/55048.

MLA Handbook (7^{th} Edition):

Deng, Hui. “Mean-variance optimal portfolio selection with a value-at-risk constraint.” 2009. Web. 20 Sep 2019.

Vancouver:

Deng H. Mean-variance optimal portfolio selection with a value-at-risk constraint. [Internet] [Masters thesis]. University of Hong Kong; 2009. [cited 2019 Sep 20]. Available from: Deng, H. [鄧惠]. (2009). Mean-variance optimal portfolio selection with a value-at-risk constraint. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4189721 ; http://dx.doi.org/10.5353/th_b4189721 ; http://hdl.handle.net/10722/55048.

Council of Science Editors:

Deng H. Mean-variance optimal portfolio selection with a value-at-risk constraint. [Masters Thesis]. University of Hong Kong; 2009. Available from: Deng, H. [鄧惠]. (2009). Mean-variance optimal portfolio selection with a value-at-risk constraint. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4189721 ; http://dx.doi.org/10.5353/th_b4189721 ; http://hdl.handle.net/10722/55048

University of British Columbia

18.
Li, Yuming.
Univariate and multivariate measures of risk aversion and risk premiums with joint normal distribution and applications in *portfolio* selection * models*
.

Degree: 1987, University of British Columbia

URL: http://hdl.handle.net/2429/26110

► This thesis gives the formal derivations of the so-called Rubinstein's measures of risk aversion and their multivariate generalizations. The applications of these measures in *portfolio*…
(more)

Subjects/Keywords: Risk; Portfolio management – Mathematical models

Record Details Similar Records

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APA (6^{th} Edition):

Li, Y. (1987). Univariate and multivariate measures of risk aversion and risk premiums with joint normal distribution and applications in portfolio selection models . (Thesis). University of British Columbia. Retrieved from http://hdl.handle.net/2429/26110

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Li, Yuming. “Univariate and multivariate measures of risk aversion and risk premiums with joint normal distribution and applications in portfolio selection models .” 1987. Thesis, University of British Columbia. Accessed September 20, 2019. http://hdl.handle.net/2429/26110.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Li, Yuming. “Univariate and multivariate measures of risk aversion and risk premiums with joint normal distribution and applications in portfolio selection models .” 1987. Web. 20 Sep 2019.

Vancouver:

Li Y. Univariate and multivariate measures of risk aversion and risk premiums with joint normal distribution and applications in portfolio selection models . [Internet] [Thesis]. University of British Columbia; 1987. [cited 2019 Sep 20]. Available from: http://hdl.handle.net/2429/26110.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Li Y. Univariate and multivariate measures of risk aversion and risk premiums with joint normal distribution and applications in portfolio selection models . [Thesis]. University of British Columbia; 1987. Available from: http://hdl.handle.net/2429/26110

Not specified: Masters Thesis or Doctoral Dissertation

Rutgers University

19.
Miller, Naomi Liora.
Mean-risk *portfolio* optimization problems with risk-adjusted measures:.

Degree: PhD, Operations Research, 2008, Rutgers University

URL: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000050460

►

We consider the problem of optimizing a *portfolio* of finitely many assets whose returns are described by a joint discrete distribution. We formulate the mean-risk…
(more)

Subjects/Keywords: Portfolio management – Mathematical models; Risk

Record Details Similar Records

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APA (6^{th} Edition):

Miller, N. L. (2008). Mean-risk portfolio optimization problems with risk-adjusted measures:. (Doctoral Dissertation). Rutgers University. Retrieved from http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000050460

Chicago Manual of Style (16^{th} Edition):

Miller, Naomi Liora. “Mean-risk portfolio optimization problems with risk-adjusted measures:.” 2008. Doctoral Dissertation, Rutgers University. Accessed September 20, 2019. http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000050460.

MLA Handbook (7^{th} Edition):

Miller, Naomi Liora. “Mean-risk portfolio optimization problems with risk-adjusted measures:.” 2008. Web. 20 Sep 2019.

Vancouver:

Miller NL. Mean-risk portfolio optimization problems with risk-adjusted measures:. [Internet] [Doctoral dissertation]. Rutgers University; 2008. [cited 2019 Sep 20]. Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000050460.

Council of Science Editors:

Miller NL. Mean-risk portfolio optimization problems with risk-adjusted measures:. [Doctoral Dissertation]. Rutgers University; 2008. Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000050460

Hong Kong University of Science and Technology

20. Yang, Yang. Distributed optimization in financial engineering, communication networks, and signal processing.

Degree: 2013, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b1255100 ; http://repository.ust.hk/ir/bitstream/1783.1-61767/1/th_redirect.html

► Distributed optimization has always been an active research area which receives extensive attention and interest. This trend has becoming increasingly obvious during the past decade,…
(more)

Subjects/Keywords: Portfolio management; Mathematical models; MIMO systems; Electronic data processing; Distributed processing; Mathematical optimization

Record Details Similar Records

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APA (6^{th} Edition):

Yang, Y. (2013). Distributed optimization in financial engineering, communication networks, and signal processing. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b1255100 ; http://repository.ust.hk/ir/bitstream/1783.1-61767/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Yang, Yang. “Distributed optimization in financial engineering, communication networks, and signal processing.” 2013. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b1255100 ; http://repository.ust.hk/ir/bitstream/1783.1-61767/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Yang, Yang. “Distributed optimization in financial engineering, communication networks, and signal processing.” 2013. Web. 20 Sep 2019.

Vancouver:

Yang Y. Distributed optimization in financial engineering, communication networks, and signal processing. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2013. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b1255100 ; http://repository.ust.hk/ir/bitstream/1783.1-61767/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yang Y. Distributed optimization in financial engineering, communication networks, and signal processing. [Thesis]. Hong Kong University of Science and Technology; 2013. Available from: https://doi.org/10.14711/thesis-b1255100 ; http://repository.ust.hk/ir/bitstream/1783.1-61767/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Northeastern University

21.
Masoumi, Reza.
A framework for project *portfolio* formation using a hybrid of multicriteria decision-making methods.

Degree: PhD, Department of Civil and Environmental Engineering, 2016, Northeastern University

URL: http://hdl.handle.net/2047/D20195238

► The main contribution of this dissertation is the development of a comprehensive framework for the formation of construction project portfolios. The most important phase of…
(more)

Subjects/Keywords: capital projects; multicriteria decision-making (MCDM) methods; portfolio formaiton; portfolio management; probabilistic analysis of projects' ranks (Ex-PROMETHEE); projects' risk factors in ranking projects; Project management; Mathematical models; Construction industry; Risk management; Mathematical models; Risk management; Mathematical models; Decision making; Mathematical models; Computational complexity

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Masoumi, R. (2016). A framework for project portfolio formation using a hybrid of multicriteria decision-making methods. (Doctoral Dissertation). Northeastern University. Retrieved from http://hdl.handle.net/2047/D20195238

Chicago Manual of Style (16^{th} Edition):

Masoumi, Reza. “A framework for project portfolio formation using a hybrid of multicriteria decision-making methods.” 2016. Doctoral Dissertation, Northeastern University. Accessed September 20, 2019. http://hdl.handle.net/2047/D20195238.

MLA Handbook (7^{th} Edition):

Masoumi, Reza. “A framework for project portfolio formation using a hybrid of multicriteria decision-making methods.” 2016. Web. 20 Sep 2019.

Vancouver:

Masoumi R. A framework for project portfolio formation using a hybrid of multicriteria decision-making methods. [Internet] [Doctoral dissertation]. Northeastern University; 2016. [cited 2019 Sep 20]. Available from: http://hdl.handle.net/2047/D20195238.

Council of Science Editors:

Masoumi R. A framework for project portfolio formation using a hybrid of multicriteria decision-making methods. [Doctoral Dissertation]. Northeastern University; 2016. Available from: http://hdl.handle.net/2047/D20195238

Hong Kong University of Science and Technology

22. Lui, Ga Ching Samuel PHYS. Time warping algorithms and its applications on financial time series.

Degree: 2017, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-991012565468603412 ; http://repository.ust.hk/ir/bitstream/1783.1-91250/1/th_redirect.html

► We introduce some of the methods for time warping, which is a technique normally used in speech recognition. Discrete time warping genetic algorithm (dTWGA) is…
(more)

Subjects/Keywords: Genetic algorithms; Time-series analysis; Mathematical models; Pattern recognition systems; Portfolio management

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Lui, G. C. S. P. (2017). Time warping algorithms and its applications on financial time series. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-991012565468603412 ; http://repository.ust.hk/ir/bitstream/1783.1-91250/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Lui, Ga Ching Samuel PHYS. “Time warping algorithms and its applications on financial time series.” 2017. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-991012565468603412 ; http://repository.ust.hk/ir/bitstream/1783.1-91250/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Lui, Ga Ching Samuel PHYS. “Time warping algorithms and its applications on financial time series.” 2017. Web. 20 Sep 2019.

Vancouver:

Lui GCSP. Time warping algorithms and its applications on financial time series. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2017. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-991012565468603412 ; http://repository.ust.hk/ir/bitstream/1783.1-91250/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lui GCSP. Time warping algorithms and its applications on financial time series. [Thesis]. Hong Kong University of Science and Technology; 2017. Available from: https://doi.org/10.14711/thesis-991012565468603412 ; http://repository.ust.hk/ir/bitstream/1783.1-91250/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

23. Yang, Liusha ECE. Random-matrix-based high dimensional covariance estimation and signal processing applications.

Degree: 2018, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-991012637269103412 ; http://repository.ust.hk/ir/bitstream/1783.1-96012/1/th_redirect.html

► The main theme of this thesis is the design and analysis of high-dimensional covariance matrix estimators using random matrix theory (RMT). Classical estimators, such as…
(more)

Subjects/Keywords: Electronic data processing; Mathematical models; Statistical methods; Estimation theory; Random data (Statistics); Portfolio management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Yang, L. E. (2018). Random-matrix-based high dimensional covariance estimation and signal processing applications. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-991012637269103412 ; http://repository.ust.hk/ir/bitstream/1783.1-96012/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Yang, Liusha ECE. “Random-matrix-based high dimensional covariance estimation and signal processing applications.” 2018. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-991012637269103412 ; http://repository.ust.hk/ir/bitstream/1783.1-96012/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Yang, Liusha ECE. “Random-matrix-based high dimensional covariance estimation and signal processing applications.” 2018. Web. 20 Sep 2019.

Vancouver:

Yang LE. Random-matrix-based high dimensional covariance estimation and signal processing applications. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2018. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-991012637269103412 ; http://repository.ust.hk/ir/bitstream/1783.1-96012/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yang LE. Random-matrix-based high dimensional covariance estimation and signal processing applications. [Thesis]. Hong Kong University of Science and Technology; 2018. Available from: https://doi.org/10.14711/thesis-991012637269103412 ; http://repository.ust.hk/ir/bitstream/1783.1-96012/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Hong Kong University of Science and Technology

24. Benidis, Konstantinos ECE. High-dimensional sparsity methods in machine learning and finance.

Degree: 2018, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-991012588465403412 ; http://repository.ust.hk/ir/bitstream/1783.1-92257/1/th_redirect.html

► Sparsity has been successfully applied in almost all the fields of science and engineering, especially in high-dimensional applications, where a sparse representation can reduce the…
(more)

Subjects/Keywords: Signal processing; Mathematical models; Machine learning; Portfolio management; Sparse matrices; Principal components analysis

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Benidis, K. E. (2018). High-dimensional sparsity methods in machine learning and finance. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-991012588465403412 ; http://repository.ust.hk/ir/bitstream/1783.1-92257/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Benidis, Konstantinos ECE. “High-dimensional sparsity methods in machine learning and finance.” 2018. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-991012588465403412 ; http://repository.ust.hk/ir/bitstream/1783.1-92257/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Benidis, Konstantinos ECE. “High-dimensional sparsity methods in machine learning and finance.” 2018. Web. 20 Sep 2019.

Vancouver:

Benidis KE. High-dimensional sparsity methods in machine learning and finance. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2018. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-991012588465403412 ; http://repository.ust.hk/ir/bitstream/1783.1-92257/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Benidis KE. High-dimensional sparsity methods in machine learning and finance. [Thesis]. Hong Kong University of Science and Technology; 2018. Available from: https://doi.org/10.14711/thesis-991012588465403412 ; http://repository.ust.hk/ir/bitstream/1783.1-92257/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

University of Pretoria

25. Gumbo, Victor. Mean absolute deviation skewness model with transactions costs.

Degree: Mathematics and Applied Mathematics, 2005, University of Pretoria

URL: http://hdl.handle.net/2263/27755

No abstract supplied
*Advisors/Committee Members: Prof D C J De Jongh (advisor), Prof B Swart (coadvisor).*

Subjects/Keywords: Investment analysis mathematical models; Portfolio management mathematical models; Securities mathematical models; UCTD

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Gumbo, V. (2005). Mean absolute deviation skewness model with transactions costs. (Masters Thesis). University of Pretoria. Retrieved from http://hdl.handle.net/2263/27755

Chicago Manual of Style (16^{th} Edition):

Gumbo, Victor. “Mean absolute deviation skewness model with transactions costs.” 2005. Masters Thesis, University of Pretoria. Accessed September 20, 2019. http://hdl.handle.net/2263/27755.

MLA Handbook (7^{th} Edition):

Gumbo, Victor. “Mean absolute deviation skewness model with transactions costs.” 2005. Web. 20 Sep 2019.

Vancouver:

Gumbo V. Mean absolute deviation skewness model with transactions costs. [Internet] [Masters thesis]. University of Pretoria; 2005. [cited 2019 Sep 20]. Available from: http://hdl.handle.net/2263/27755.

Council of Science Editors:

Gumbo V. Mean absolute deviation skewness model with transactions costs. [Masters Thesis]. University of Pretoria; 2005. Available from: http://hdl.handle.net/2263/27755

University of Pretoria

26. [No author]. Mean absolute deviation skewness model with transactions costs .

Degree: 2005, University of Pretoria

URL: http://upetd.up.ac.za/thesis/available/etd-09052005-115438/

No abstract supplied
*Advisors/Committee Members: Prof D C J De Jongh (advisor), Prof B Swart (advisor).*

Subjects/Keywords: Investment analysis mathematical models; Portfolio management mathematical models; Securities mathematical models; UCTD

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

author], [. (2005). Mean absolute deviation skewness model with transactions costs . (Masters Thesis). University of Pretoria. Retrieved from http://upetd.up.ac.za/thesis/available/etd-09052005-115438/

Chicago Manual of Style (16^{th} Edition):

author], [No. “Mean absolute deviation skewness model with transactions costs .” 2005. Masters Thesis, University of Pretoria. Accessed September 20, 2019. http://upetd.up.ac.za/thesis/available/etd-09052005-115438/.

MLA Handbook (7^{th} Edition):

author], [No. “Mean absolute deviation skewness model with transactions costs .” 2005. Web. 20 Sep 2019.

Vancouver:

author] [. Mean absolute deviation skewness model with transactions costs . [Internet] [Masters thesis]. University of Pretoria; 2005. [cited 2019 Sep 20]. Available from: http://upetd.up.ac.za/thesis/available/etd-09052005-115438/.

Council of Science Editors:

author] [. Mean absolute deviation skewness model with transactions costs . [Masters Thesis]. University of Pretoria; 2005. Available from: http://upetd.up.ac.za/thesis/available/etd-09052005-115438/

Hong Kong University of Science and Technology

27. Kung, James Jai-Ming. Efficient and inefficient fixed income investment strategies.

Degree: 2000, Hong Kong University of Science and Technology

URL: https://doi.org/10.14711/thesis-b678754 ; http://repository.ust.hk/ir/bitstream/1783.1-1550/1/th_redirect.html

► Many investment strategies are myopic in that they ignore everything that happens after the end of the one-period horizon. An efficient investment strategy, besides diversified…
(more)

Subjects/Keywords: Fixed-income securities – Mathematical models; Portfolio management – Mathematical models; Investment analysis – Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Kung, J. J. (2000). Efficient and inefficient fixed income investment strategies. (Thesis). Hong Kong University of Science and Technology. Retrieved from https://doi.org/10.14711/thesis-b678754 ; http://repository.ust.hk/ir/bitstream/1783.1-1550/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Kung, James Jai-Ming. “Efficient and inefficient fixed income investment strategies.” 2000. Thesis, Hong Kong University of Science and Technology. Accessed September 20, 2019. https://doi.org/10.14711/thesis-b678754 ; http://repository.ust.hk/ir/bitstream/1783.1-1550/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Kung, James Jai-Ming. “Efficient and inefficient fixed income investment strategies.” 2000. Web. 20 Sep 2019.

Vancouver:

Kung JJ. Efficient and inefficient fixed income investment strategies. [Internet] [Thesis]. Hong Kong University of Science and Technology; 2000. [cited 2019 Sep 20]. Available from: https://doi.org/10.14711/thesis-b678754 ; http://repository.ust.hk/ir/bitstream/1783.1-1550/1/th_redirect.html.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kung JJ. Efficient and inefficient fixed income investment strategies. [Thesis]. Hong Kong University of Science and Technology; 2000. Available from: https://doi.org/10.14711/thesis-b678754 ; http://repository.ust.hk/ir/bitstream/1783.1-1550/1/th_redirect.html

Not specified: Masters Thesis or Doctoral Dissertation

Ryerson University

28. Lin, Songzhi. Interactive Multiple Objective Asset Allocation.

Degree: 2003, Ryerson University

URL: https://digital.library.ryerson.ca/islandora/object/RULA%3A2008

► *Portfolio* efficiency and suitability are two important goals in the asset allocation processing involving a financial advisor and clients. The Analytic Hierarchy Process (AHP) technique…
(more)

Subjects/Keywords: Asset allocation – Mathematical models; Portfolio management – Mathematical models; Investment analysis – Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Lin, S. (2003). Interactive Multiple Objective Asset Allocation. (Thesis). Ryerson University. Retrieved from https://digital.library.ryerson.ca/islandora/object/RULA%3A2008

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Lin, Songzhi. “Interactive Multiple Objective Asset Allocation.” 2003. Thesis, Ryerson University. Accessed September 20, 2019. https://digital.library.ryerson.ca/islandora/object/RULA%3A2008.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Lin, Songzhi. “Interactive Multiple Objective Asset Allocation.” 2003. Web. 20 Sep 2019.

Vancouver:

Lin S. Interactive Multiple Objective Asset Allocation. [Internet] [Thesis]. Ryerson University; 2003. [cited 2019 Sep 20]. Available from: https://digital.library.ryerson.ca/islandora/object/RULA%3A2008.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lin S. Interactive Multiple Objective Asset Allocation. [Thesis]. Ryerson University; 2003. Available from: https://digital.library.ryerson.ca/islandora/object/RULA%3A2008

Not specified: Masters Thesis or Doctoral Dissertation

Rutgers University

29.
Deniz, Erhan, 1980-.
Multi-period scenario generation to support *portfolio* optimization:.

Degree: PhD, Industrial and Systems Engineering, 2009, Rutgers University

URL: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000051807

►

Stochastic Programming (SP) *models* are widely used for real life problems involving uncertainty. The random nature of problem parameters is modeled via discrete scenarios, which…
(more)

Subjects/Keywords: Stochastic processes; Mathematical optimization; Portfolio management – Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Deniz, Erhan, 1. (2009). Multi-period scenario generation to support portfolio optimization:. (Doctoral Dissertation). Rutgers University. Retrieved from http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000051807

Chicago Manual of Style (16^{th} Edition):

Deniz, Erhan, 1980-. “Multi-period scenario generation to support portfolio optimization:.” 2009. Doctoral Dissertation, Rutgers University. Accessed September 20, 2019. http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000051807.

MLA Handbook (7^{th} Edition):

Deniz, Erhan, 1980-. “Multi-period scenario generation to support portfolio optimization:.” 2009. Web. 20 Sep 2019.

Vancouver:

Deniz, Erhan 1. Multi-period scenario generation to support portfolio optimization:. [Internet] [Doctoral dissertation]. Rutgers University; 2009. [cited 2019 Sep 20]. Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000051807.

Council of Science Editors:

Deniz, Erhan 1. Multi-period scenario generation to support portfolio optimization:. [Doctoral Dissertation]. Rutgers University; 2009. Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000051807

University of Florida

30.
Vittetoe, Andrew.
Computing the "Efficient *Portfolio*".

Degree: 2012, University of Florida

URL: http://ufdc.ufl.edu/AA00059825

► Abstract For many people, investing is the primary method of preparing for retirement and for the accumulation of wealth in the long-term characterized by the…
(more)

Subjects/Keywords: Algorithms; Assets; Expected returns; Finance; Financial portfolios; Heuristics; Investment risks; Linear programming; Mathematics; Security portfolios; Investments; Portfolio management; Portfolio management – Mathematical models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Vittetoe, A. (2012). Computing the "Efficient Portfolio". (Thesis). University of Florida. Retrieved from http://ufdc.ufl.edu/AA00059825

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Vittetoe, Andrew. “Computing the "Efficient Portfolio".” 2012. Thesis, University of Florida. Accessed September 20, 2019. http://ufdc.ufl.edu/AA00059825.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Vittetoe, Andrew. “Computing the "Efficient Portfolio".” 2012. Web. 20 Sep 2019.

Vancouver:

Vittetoe A. Computing the "Efficient Portfolio". [Internet] [Thesis]. University of Florida; 2012. [cited 2019 Sep 20]. Available from: http://ufdc.ufl.edu/AA00059825.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Vittetoe A. Computing the "Efficient Portfolio". [Thesis]. University of Florida; 2012. Available from: http://ufdc.ufl.edu/AA00059825

Not specified: Masters Thesis or Doctoral Dissertation