Mean-Variance versus Full-Scale Optimization: In the asset allocation
碩士 === 國立清華大學 === 計量財務金融學系 === 101 === The study applies Full-scale optimization model and Mean-Variance Model to construct asset allocation. In addition to using risky asset, we also add risk-free asset to compare the utility of the two approach in the sample and out of the sample. We use 1-year de...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/09011780231321038399 |