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postgraduate thesis: Mean-variance optimal portfolio selection with a value-at-risk constraint

TitleMean-variance optimal portfolio selection with a value-at-risk constraint
Authors
Advisors
Advisor(s):Yung, SP
Issue Date2009
PublisherThe University of Hong Kong (Pokfulam, Hong Kong)
Citation
Deng, H. [鄧惠]. (2009). Mean-variance optimal portfolio selection with a value-at-risk constraint. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4189721
DegreeMaster of Philosophy
SubjectRisk.
Portfolio management - Mathematical models.
Dept/ProgramMathematics

 

DC FieldValueLanguage
dc.contributor.advisorYung, SP-
dc.contributor.authorDeng, Hui-
dc.contributor.author鄧惠-
dc.date.issued2009-
dc.identifier.citationDeng, H. [鄧惠]. (2009). Mean-variance optimal portfolio selection with a value-at-risk constraint. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4189721-
dc.languageeng-
dc.publisherThe University of Hong Kong (Pokfulam, Hong Kong)-
dc.relation.ispartofHKU Theses Online (HKUTO)-
dc.rightsThe author retains all proprietary rights, (such as patent rights) and the right to use in future works.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.source.urihttp://hub.hku.hk/bib/B41897213-
dc.subject.lcshRisk.-
dc.subject.lcshPortfolio management - Mathematical models.-
dc.titleMean-variance optimal portfolio selection with a value-at-risk constraint-
dc.typePG_Thesis-
dc.identifier.hkulb4189721-
dc.description.thesisnameMaster of Philosophy-
dc.description.thesislevelMaster-
dc.description.thesisdisciplineMathematics-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.5353/th_b4189721-
dc.date.hkucongregation2009-

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