The Study of the performance of the optimal asset allocation models－Comparison of M-V model and M-CVaR model
碩士 === 銘傳大學 === 財務金融學系碩士班 === 94 === This paper utilizes the Mean-CVaR model (MCVaR model) to construct a Mean-CVaR efficient frontier for finding optimal asset allocation as compared with the Mean-Variance model (MV model). In addition, through different sample period and the process of moving wind...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ve5rw6 |