Optimal Downside Risk Portfolio with Using Value at Risk(VaR)
碩士 === 國立臺北大學 === 企業管理學系 === 89 === The research uses extreme value theory to find the Value at Risk of assets and exploit VaRs as downside risk measure within safety-first investor theory. Here we study optimal selection and result of safety-first investor theory under the limited conditions of In...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2001
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Online Access: | http://ndltd.ncl.edu.tw/handle/96800642358313592027 |