Optimal portfolio choice with dependence structure
碩士 === 國立臺北大學 === 統計學系 === 98 === A vast amount of empirical evidence demonstrates that correlations between international equity returns are higher during bear markets than during bull markets. Moreover, equity returns generally exhibit leptokurtic behaviors, i.e. equity returns are negatively skew...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96537362653264687609 |