Portfolio optimization under minimax risk measure with investment bounds.

Wong, Chi Ying.Thesis (M.Phil.)--Chinese University of Hong Kong, 2007.Includes bibliographical references (leaves 71-74).Abstracts in English and Chinese.Abstract Page --- p.iiAcknowledgment Page --- p.ivChapter 1 --- Introduction --- p.1Chapter 2 --- Literature Review --- p.5Chapter 3 --- Review of minimax portfolio selection model --- p.11Chapter 3.1 --- The I∞ model --- p.11Chapter 4 --- Portfolio optimization with group investment limits --- p.16Chapter 4.1 --- The model --- p.16Chapter 4.2 --- The optimal investment strategy --- p.17Chapter 4.2.1 --- All assets are risky --- p.18Chapter 4.2.2 --- Some riskfree assets are involved --- p.39Chapter 4.3 --- Chapter summary --- p.40Chapter 5 --- Tracing out the efficient frontier --- p.41Chapter 5.1 --- Properties of the efficient frontier --- p.42Chapter 5.2 --- The algorithm --- p.51Chapter 5.3 --- Time complexity of the algorithm --- p.56Chapter 5.4 --- Chapter summary --- p.57Chapter 6 --- Finding the investor's optimal portfolio --- p.58Chapter 6.1 --- Investor's portfolio with given A --- p.58Chapter 6.2 --- Chapter summary --- p.60Chapter 7 --- Numerical experiments --- p.61Chapter 7.1 --- Finding the efficient frontier numerically --- p.61Chapter 7.2 --- Performance between mean-variance model and I∞ model --- p.64Chapter 7.2.1 --- Data analysis --- p.64Chapter 7.2.2 --- Experiment description and discussion --- p.65Chapter 7.3 --- Chapter summary --- p.67Chapter 8 --- Conclusion --- p.68Bibliography --- p.71Appendix --- p.75Chapter A --- Stocks for finding the efficient frontiers with and without bound constraints --- p.75Chapter B --- List of companies --- p.77Chapter C --- Graphical Results --- p.8