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...

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Bibliographic Details
Main Authors: CHEN GENG-MIN, 陳耿民
Other Authors: Joseph Lin
Format: Others
Language:zh-TW
Published: 2001
Online Access:http://ndltd.ncl.edu.tw/handle/96800642358313592027