Some extensions of portfolio selection under a minimax rule.

Nie Xiaofeng.Thesis (M.Phil.)--Chinese University of Hong Kong, 2002.Includes bibliographical references (leaves 52-56).Abstracts in English and Chinese.Chapter 1 --- Introduction --- p.1Chapter 2 --- A Minimax Model and Its CAPM --- p.9Chapter 2.1 --- Model Formulation --- p.9Chapter 2.2 --- Efficient Frontier --- p.11Chapter 2.3 --- Market Portfolio --- p.15Chapter 2.4 --- CAPM of Minimax Model --- p.22Chapter 3 --- "A Revised Minimax Model with Downside Risk, and Its CAPM" --- p.28Chapter 3.1 --- Model Formulation --- p.28Chapter 3.2 --- Efficient Frontier --- p.30Chapter 3.3 --- Market Portfolio and CAPM --- p.38Chapter 4 --- Numerical Analysis --- p.43Chapter 4.1 --- Efficient Frontiers --- p.43Chapter 4.1.1 --- Input Data --- p.45Chapter 4.1.2 --- Efficient Frontiers --- p.45Chapter 4.2 --- Monthly Rate of Return Comparison --- p.47Chapter 5 --- Summary --- p.50Bibliography --- p.5