An Investigation of Higher-Order Moment and Conditional VaR Interactive Portfolios on Taiwan Stock Momentum Effects
碩士 === 國立臺北大學 === 企業管理學系 === 102 === The purpose of this study is to investigate better momentum portfolio strategy based on conditonal VaR (CVaR) and skewness and kurtosis of higher momentum segmentation. 855 listed firms in Taiwan stock market with complete data were selected. The monthly data, ra...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/16668083342621280581 |