Conditional Value-at-Risk for Portfolio Construction

碩士 === 雲林科技大學 === 財務金融系碩士班 === 99 === This study focuses on the performance of portfolio constructions among the constituent stocks of Taiwan 50 Index. Mean-CVaR model, James-Stein model, Minimum-Variance model, and Mean-Variance model are employed and examined on Taiwan 50 Index during the period o...

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Bibliographic Details
Main Authors: Shi-Bin Xiao, 蕭世彬
Other Authors: Chin-Sheng Huang
Format: Others
Language:zh-TW
Published: 2011
Online Access:http://ndltd.ncl.edu.tw/handle/90443499442701443364

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