Portfolio Selection under mean-VaR framework
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 92 === In this thesis,we use Student APARCH model and ARJI model to evaluate portfolio weight of the MSCI Global Stock Index and MSCI Emerging Market Bond Index. The purpose of this thesis is to compare the capability of the evaluation of portfolio weight with these...
Main Authors: | Wu,Chung Sheng, 吳崇聖 |
---|---|
Other Authors: | Chien-Liang Chiu |
Format: | Others |
Published: |
2004
|
Online Access: | http://ndltd.ncl.edu.tw/handle/82920473651410778702 |
Similar Items
-
Portfolio Selection under VaR Risk Measure Framework: Examination on Asian Stock Index
by: Wu, Ya-Ping, et al.
Published: (2004) -
Measurements of VaR of Portfolio
by: Jyun-Sheng Cai, et al.
Published: (2004) -
Optimal Portfolio Under VaR and ES
by: Henryk Gurgul, et al.
Published: (2014-01-01) -
The estimate of the portfolio VaR
by: 陳彥任
Published: (2006) -
The Study of financial portfolios''VaR
by: Wang, Chun-Yi, et al.
Published: (2000)