Portfolio Optimization under Dynamic Conditional Value-at-Risk
碩士 === 國立交通大學 === 經營管理研究所 === 102 === In modern portfolio theory (MPT), investors use minimum portfolio variance strategy to allocate their assets and optimize their portfolios, but MPT assumes portfolio variance never changes and uses the historical parameter “volatility” as a proxy for risk. We us...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45177012458411049643 |