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題名:組合型基金下方風險與績效評估--以修正後Sharpe和Jensen指標為証
書刊名:中原企管評論
作者:陳若暉 引用關係黃玉芳
作者(外文):Chen, Jo-huiHuang, Yu-fang
出版日期:2007
卷期:5:1
頁次:頁87-110
主題關鍵詞:組合型基金風險值夏普指標Fund of fundsVaRSharpe index
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:50
期刊論文
1.Murray, S.(1999)。Benchmark-Relative Value at Risk。Derivatives Quarterly,5(4),37-45。  new window
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。  new window
3.Schwager, J.(1985)。Alternative to Sharpe Ratio better Measure of Performance。Future,14(3),56-58。  new window
4.Duru, A.、Reeb, D. M.(2002)。International Diversification and Analysts' Forecast Accuracy and Bias。The Accounting Review,77(2),415-433。  new window
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。  new window
6.Sharpe, William F.(1966)。Mutual fund performance。Journal of Business,39(1),119-138。  new window
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。new window  延伸查詢new window
8.Jensen, Michael C.(1968)。The performance of mutual funds in the period 1945-1964。Journal of Finance,23(2),389-416。  new window
9.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。  new window
10.Simons, K.(1996)。“Value at Risk-new Approaches to Risk Management,”。New England Economic Review,Sep/Oct,3-13。  new window
11.Simons, K.(1998)。“Risk-Adjusted Performance of Mutual Funds,”。New England Economic Review,Sep/Oct,33-48。  new window
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new window
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new window
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new window
15.Admati, A. and Ross, S.(1985)。“Measuring Investment Performance in Rational Expectations Equilibrium Model,”。Journal of Business,vol.58,1-26。  new window
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。  new window
17.Beder, T. S.(1995)。“VaR: Deductive but Dangerous,”。Financial Analysts Journal,September-Octorber,12-24。  new window
18.Burke, M.D.(1994)。“A Test of Fit for a Semi-parametric Additive Risk Model,”。Biometrika,vol.3,631-639。  new window
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。  new window
20.Dowd K.(1999)。“Financial Risk Management,”。Financial Analysis Journal,Vol.55(4),65-71。  new window
21.Dybvig, P. and Ross, S.(1985)。“The Analytics of Performance Measurement Using a Security Market Line,”。Journal of Finance,vol.47,1952-1976。  new window
22.Gregoriou, G. N.(2004)。Performance of Canadian Hedge Funds Using a Modified Sharpe Ratio。Derivative Use, Trading and Regulation,10(2),149-155。  new window
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。  new window
會議論文
1.邱顯比、林清珮、楊宗庭(2002)。「共同基金風險值的評估與應用」。  延伸查詢new window
學位論文
1.張有若(2002)。全球共同基金群組風險與績效評估--以風險值修正夏普指標之應用(碩士論文)。中原大學。  延伸查詢new window
圖書
1.蔣炤平、林允正、李進生、謝文良、陳達新、盧陽正(2001)。風險管理:風險值(VaR)理論與應用。新竹:清蔚科技股份有限公司。  延伸查詢new window
 
 
 
 
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