Portfolio selection based on minmax rule and fuzzy set theory.

Abstract

Yang, Fan.Thesis (M.Phil.)--Chinese University of Hong Kong, 2011.Includes bibliographical references (p. 100-106).Abstracts in English and Chinese.Abstract --- p.iAcknowledgement --- p.iiiChapter 1 --- Introduction --- p.1Chapter 1.1 --- Literature review --- p.1Chapter 1.2 --- The main contribution of this thesis --- p.5Chapter 1.3 --- Relations between the above three models --- p.7Chapter 2 --- Model 1 --- p.9Chapter 2.1 --- Introduction --- p.9Chapter 2.2 --- Minimax rule risk function --- p.11Chapter 2.3 --- Fuzzy liquidity of asset --- p.12Chapter 2.4 --- Notations --- p.15Chapter 2.5 --- Model formulation --- p.16Chapter 2.6 --- Numerical example and result --- p.25Chapter 3 --- Model 2 --- p.36Chapter 3.1 --- Introduction --- p.36Chapter 3.2 --- Notations --- p.39Chapter 3.3 --- Model formulation --- p.41Chapter 3.4 --- Numerical example and result --- p.45Chapter 4 --- Model 3 --- p.51Chapter 4.1 --- Introduction --- p.51Chapter 4.2 --- Notations --- p.52Chapter 4.3 --- Model formulation --- p.54Chapter 4.4 --- Numerical example and result --- p.62Chapter 5 --- Conclusion --- p.68Chapter A --- Source Data for Model 1 --- p.71Chapter B --- Source Data for Model 2 --- p.80Chapter C --- Source Data for Model 3 --- p.90Bibliography --- p.10