Target Volatility Strategies in Taiwan Stock Market
碩士 === 國立政治大學 === 國際經營與貿易學系 === 107 === After the financial crisis in 2007-2008, the component stocks of the portfolio become highly correlated instantly. The situation shocked the diversification effect of portfolio. Therefore, several research and investors focus on target volatility investment st...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/bcv74p |
| Summary: | 碩士 === 國立政治大學 === 國際經營與貿易學系 === 107 === After the financial crisis in 2007-2008, the component stocks of the portfolio
become highly correlated instantly. The situation shocked the diversification effect of portfolio. Therefore, several research and investors focus on target volatility
investment strategies instead of pursuing expected return. In this paper, we follow the target volatility strategies of Dachraoui (2018) in Taiwan stock market. We examine its performance and compare the results of different rebalanced period. The last, we investigate the possible reasons to affect the performance of the TVS (Target Volatility Strategies) in Taiwan.
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