期刊論文1. | Murray, S.(1999)。Benchmark-Relative Value at Risk。Derivatives Quarterly,5(4),37-45。 |
2. | Kooli, M.、Amvella, S. P.、Gueyie, J. P.(2005)。Hedge funds in a portfolio context: A mean-modified value at risk framework。Derivatives Use, Trading & Regulation,10(4),373-383。 |
3. | Schwager, J.(1985)。Alternative to Sharpe Ratio better Measure of Performance。Future,14(3),56-58。 |
4. | Duru, A.、Reeb, D. M.(2002)。International Diversification and Analysts' Forecast Accuracy and Bias。The Accounting Review,77(2),415-433。 |
5. | Campbell, R.、Huisman, R.、Koedijk, K.(2001)。Optimal Portfolio Selection in a Value-at-Risk Framework。Journal of Banking and Finance,25(9),1789-1804。 |
6. | Sharpe, William F.(1966)。Mutual fund performance。Journal of Business,39(1),119-138。 |
7. | 杜玉振、宋孝聖(20030700)。臺灣股市投資組合選取與績效評估之研究--VaR形式Sharpe指標之推導與應用。管理與系統,10(3),343-363。 延伸查詢 |
8. | Jensen, Michael C.(1968)。The performance of mutual funds in the period 1945-1964。Journal of Finance,23(2),389-416。 |
9. | Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。 |
10. | Simons, K.(1996)。“Value at Risk-new Approaches to Risk Management,”。New England Economic Review,Sep/Oct,3-13。 |
11. | Simons, K.(1998)。“Risk-Adjusted Performance of Mutual Funds,”。New England Economic Review,Sep/Oct,33-48。 |
12. | 胡為善、宋文仁(1999)。「以三種風險價值法衡量在亞洲金融風暴期間臺灣及香港股價指數與外匯的投資組合」。中原學報,第27卷,第2期,33-48。 延伸查詢 |
13. | 廖麗娟(2005)。「以風險值(value at risk)之觀念衡量債券型基金市場風險」。證券櫃檯月刊,第111期,36-56。 延伸查詢 |
14. | 劉文棋、張淑怡、詹麗錦(2001)。「共同基金評選指標之實用性研究」。臺灣土地金融季刊,第38卷,第1期,85-108。 延伸查詢 |
15. | Admati, A. and Ross, S.(1985)。“Measuring Investment Performance in Rational Expectations Equilibrium Model,”。Journal of Business,vol.58,1-26。 |
16. | Alexander, Gordon J. and Baptisa, Alexander M.(2003)。“Portfolio Performance Evaluation Using Value at Risk,”。The Journal of Portfolio Management,vol.29,no.4,93-102。 |
17. | Beder, T. S.(1995)。“VaR: Deductive but Dangerous,”。Financial Analysts Journal,September-Octorber,12-24。 |
18. | Burke, M.D.(1994)。“A Test of Fit for a Semi-parametric Additive Risk Model,”。Biometrika,vol.3,631-639。 |
19. | Chen, Z.P. and Zhao, C.E.(2002)。“Is the MV Efficient Portfolio Really that Sensitive to Estimation Errors?”。Asia-Pacific Journal of Operational Research,vol.25,123-130。 |
20. | Dowd K.(1999)。“Financial Risk Management,”。Financial Analysis Journal,Vol.55(4),65-71。 |
21. | Dybvig, P. and Ross, S.(1985)。“The Analytics of Performance Measurement Using a Security Market Line,”。Journal of Finance,vol.47,1952-1976。 |
22. | Gregoriou, G. N.(2004)。Performance of Canadian Hedge Funds Using a Modified Sharpe Ratio。Derivative Use, Trading and Regulation,10(2),149-155。 |
23. | Huisman, R., Koedijk, K. G., and Pownal, R. A. J.(1999)。“VaR: Fat Tails in Financial Risk Management,”。Journal of Risk,vol.1,47-61。 |