On tracking a deterministic growth.

• Other Authors: Zhang, Li.
• Format: Others
• Language: English; Chinese
• Published: 2003
• Subjects: Stochastic control theory; Linear control systems
• Online Access: http://library.cuhk.edu.hk/record=b5891656; http://repository.lib.cuhk.edu.hk/en/item/cuhk-324285

Zhang Li. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. === Includes bibliographical references (leaves 67-69). === Abstracts in English and Chinese. === Chapter 1 --- Introduction and Literature Review --- p.1 === Chapter 2 --- The Tracking Portfolio Models --- p.7 === Chapter 2.1 --- Problem Formulation --- p.8 === Chapter 2.2 --- Reformulation of Tracking Models --- p.12 === Chapter 2.3 --- A Stochastic LQ Control Approach --- p.13 === Chapter 3 --- Efficient Tracking: Deterministic Market Parameters --- p.16 === Chapter 3.1 --- Solution to Model I --- p.17 === Chapter 3.2 --- A Special Case of Model I --- p.23 === Chapter 3.3 --- Solution to Model II --- p.24 === Chapter 3.4 --- A Special Case of Model II: Mean-Variance Portfolio Selection --- p.32 === Chapter 3.5 --- Solution to Model III --- p.36 === Chapter 4 --- Efficient Tracking: Markov-Modulated Market Parameters --- p.41 === Chapter 4.1 --- Problem Formulation --- p.42 === Chapter 4.2 --- Solution to Model I with Regime Switching --- p.47 === Chapter 4.3 --- Solution to Model II with Regime Switching --- p.52 === Chapter 4.4 --- Solution to Model III with Regime Switching --- p.59 === Chapter 5 --- Conclusion --- p.64 === Bibliography --- p.66