Applying Value-at-Risk and extreme value theory to dynamic portfolio insurance strategy
碩士 === 國立彰化師範大學 === 商業教育學系 === 92 === CPPI and TIPP are mostly used by institutional investors when they issue new financial products or held portfolio to hedge market risk. However, the multiplier used in the CPPI and TIPP were decided by investors themselves at the beginning of insurance period,...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/93100020633310041952 |