The Investigation of the Tradeoff between Value-at-Risk and Excess Returns
碩士 === 淡江大學 === 財務金融學系碩士班 === 99 === This paper examines the relationship between risk and excess returns in the U.S. stock market. The main risk measure variables are realized volatility (RV) of the traditional risk and Value-at-Risk (VaR) of downside risk. Moreover, comparing RV with VaR for the s...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/02576043158974988837 |