Linear Value-at-Risk Portfolio Selection Model with Transaction Cost and Short Selling
碩士 === 國立暨南國際大學 === 資訊管理學系 === 101 === Value-at-Risk (VaR) is Basel Accord standard in the financial market, but there are some drawbacks of it, Value-at-Risk cannot sufficient of convexity, sub-additive and tail risk. This study based on Benati and Rizzi’s (2007) and Lin’s (2009) nonlinear VaR mode...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/81043893478000376301 |