Enhanced Indexing Strategy Using the Classification and Regression Tree Macro Factor Timing Model
碩士 === 國立中山大學 === 財務管理學系研究所 === 106 === In this study, we aim to enhance index fund using factor timing model in the Tai-wan market. Based on Miller, Li, Zhou and Giamouridis (2015), we use the Classifica-tion and Regression Tree Method (CART) to construct factor timing model. CART is an important t...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/r8n7ee |