Optimal Dynamic Asset Allocation and Optimal Insurance Design under Value at Risk Constraint
博士 === 國立中山大學 === 財務管理學系研究所 === 93 === This dissertation includes two topics. The first topic focuses on the problem of investor optimization of dynamic asset allocation to maximize expected utility under the value at risk (VaR) constraint. Different to previous researches, this study considers a co...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/85058984630800728350 |