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: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2001
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/96800642358313592027 |