A downside risk analysis based on financial index tracking models.

• Other Authors: Yu, Lian.
• Format: Others
• Language: English; Chinese
• Published: 2003
• Subjects: Finance > Mathematical models; Prices > Mathematical models; Investments > Mathematical models
• Online Access: http://library.cuhk.edu.hk/record=b5891530; http://repository.lib.cuhk.edu.hk/en/item/cuhk-324301

Yu Lian. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. === Includes bibliographical references (leaves 81-84). === Abstracts in English and Chinese. === Chapter 1 --- Introduction --- p.1 === Chapter 2 --- Literature Review --- p.4 === Chapter 3 --- An Index Tracking Model with Downside Chance Risk Mea- sure --- p.12 === Chapter 3.1 --- Statement of the Model --- p.13 === Chapter 3.2 --- Efficient Frontier --- p.16 === Chapter 3.3 --- Application of the Downside Chance Index Tracking Model --- p.29 === Chapter 3.4 --- Chapter Summary --- p.34 === Chapter 4 --- Index Tracking Models with High Order Moment Downside Risk Measure --- p.35 === Chapter 4.1 --- Statement of the Models --- p.35 === Chapter 4.2 --- Mean-Downside Deviation Financial Index Tracking Model --- p.38 === Chapter 4.3 --- Chapter Summary --- p.45 === Chapter 5 --- Numerical Analysis --- p.45 === Chapter 5.1 --- Data Analysis --- p.45 === Chapter 5.2 --- Experiment Description and Discussion --- p.48 === Chapter 5.2.1 --- Efficient Frontiers --- p.48 === Chapter 5.2.2 --- Monthly Expected Rate of Return --- p.50 === Chapter 5.3 --- Chapter Summary --- p.52 === Chapter 6 --- Summary --- p.54 === Chapter A --- List of Companies --- p.57 === Chapter B --- Graphical Result of Section 5.2.1 --- p.61 === Chapter C --- Graphical Result of Section 5.2.2 --- p.67 === Chapter D --- Proof in Chapter 3 and Chapter4 --- p.73 === Bibliography --- p.81