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dc.contributorDepartment of Applied Mathematicsen_US
dc.contributor.advisorXu, Zuoquan (AMA)-
dc.creatorHou, Danlin-
dc.identifier.urihttps://theses.lib.polyu.edu.hk/handle/200/8920-
dc.languageEnglishen_US
dc.publisherHong Kong Polytechnic University-
dc.rightsAll rights reserveden_US
dc.titleMarkowitz's model with intractable liabilitiesen_US
dcterms.abstractThis thesis studies robust Markowitz's models with unhedgeable liabilities involved in the final decision. The term "unhedgeable liabilities" refers to the liabilities about which the only things we know are their distributions or a few moments. With the robust idea, the target of the investor is set to minimize the variance of her portfolio in the worst scenario over all possible unhedgeable liabilities that could happen. Because of the time-inconsistent nature of the problem, the classical dynamic programming and stochastic control approaches cannot be directly applied to solve it. Instead, the quantile optimization method is adopted to tackle the problem. Using relaxation method, the optimal solutions to this specific kind of problem are derived in closed-form, and the properties of the mean-variance frontier are fully discussed too. As we know, this thesis is the first to introduce unhedgeable liabilities into mean-variance formulation, which further generalizes the original mean-variance field and also to some extent draws the model to the real .nancial world. Since the components of the terminal wealth in our model are based on different markets, a new risk measure is also put forward to avoid the ill-posedness of the problem.en_US
dcterms.extentviii, 69 pages : color illustrationsen_US
dcterms.issued2017en_US
dcterms.educationalLevelAll Doctorateen_US
dcterms.educationalLevelPh.D.en_US
dcterms.LCSHInvestments -- Mathematical models.en_US
dcterms.LCSHRisk-return relationships.en_US
dcterms.LCSHHong Kong Polytechnic University -- Dissertationsen_US
dcterms.accessRightsopen accessen_US

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Please use this identifier to cite or link to this item: https://theses.lib.polyu.edu.hk/handle/200/8920