Portfolio Selection under VaR Risk Measure Framework: Examination on Asian Stock Index
碩士 === 南台科技大學 === 企業管理系 === 92 === This paper first aims to find the efficient frontiers under the Mean-Variance, Mean-VaR, Mean-CVaR and Mean-AVaR frameworks. Next, using Variance, VaR, CVaR or AVaR as the risk index, we develop four maximum performance portfolios models similar to the traditional...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18256962608895951298 |