Market conditions and Black-Litterman asset allocation: Evidence from the components of Taiwan 50
碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 104 === We study the performance of the Black-Litterman model on the components of Taiwan 50 allocation with risk aversion, risk neutral and risk lover. Forecast business cycle with a Markov switching model, and construct different investment strategy in accordance...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/28761602938088662155 |