Target Volatility Strategies in Taiwan Stock Market

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...

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Main Authors: Chang, Wei-Shan, 張瑋珊
Other Authors: Kuo, Wei-Yu
Format: Others
Language:zh-TW
Published: 2019
Online Access:http://ndltd.ncl.edu.tw/handle/bcv74p
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spelling ndltd-TW-107NCCU53210182019-08-27T03:42:56Z http://ndltd.ncl.edu.tw/handle/bcv74p Target Volatility Strategies in Taiwan Stock Market 目標波動策略投資組合在台灣股票市場之表現 Chang, Wei-Shan 張瑋珊 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. Kuo, Wei-Yu 郭維裕 2019 學位論文 ; thesis 38 zh-TW
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language zh-TW
format Others
sources NDLTD
description 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.
author2 Kuo, Wei-Yu
author_facet Kuo, Wei-Yu
Chang, Wei-Shan
張瑋珊
author Chang, Wei-Shan
張瑋珊
spellingShingle Chang, Wei-Shan
張瑋珊
Target Volatility Strategies in Taiwan Stock Market
author_sort Chang, Wei-Shan
title Target Volatility Strategies in Taiwan Stock Market
title_short Target Volatility Strategies in Taiwan Stock Market
title_full Target Volatility Strategies in Taiwan Stock Market
title_fullStr Target Volatility Strategies in Taiwan Stock Market
title_full_unstemmed Target Volatility Strategies in Taiwan Stock Market
title_sort target volatility strategies in taiwan stock market
publishDate 2019
url http://ndltd.ncl.edu.tw/handle/bcv74p
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AT changweishan mùbiāobōdòngcèlüètóuzīzǔhézàitáiwāngǔpiàoshìchǎngzhībiǎoxiàn
AT zhāngwěishān mùbiāobōdòngcèlüètóuzīzǔhézàitáiwāngǔpiàoshìchǎngzhībiǎoxiàn
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