風險值應用於資產分配之研究--以股票市場為例
碩士 === 國立東華大學 === 企業管理學系 === 88 === The application of VaR to optimal asset allocation extends VaR as an ex-ante control tool of market risk. Comparing the normal and empirical distribution of TAIEX, I find that history simulation can capture the fat-tailed nature of return distribution and avoid t...
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| Format: | Others |
| Language: | zh-TW |
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2000
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| Online Access: | http://ndltd.ncl.edu.tw/handle/10178895048982529351 |