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題名:Controlling the Shortfall Risks in Dynamic Asset Allocation
書刊名:證券市場發展季刊
作者:張士傑 引用關係李意豐
作者(外文):Chang, Shih-ChiehLi, Yi-Feng
出版日期:2007
卷期:19:2=74
頁次:頁79-118
主題關鍵詞:凸性平賭過程避險組合選擇權共同基金ConvexVasicekHedging portfolioOptionMutual fund
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 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:0
  • 共同引用共同引用:0
  • 點閱點閱:23
期刊論文
1.Merton, R. C.(1969)。Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case。Review of Economics and Statistics,51,247-257。  new window
2.Sørensen, C.(1999)。Dynamic Asset Allocation and Fixed Income Management。Journal of Financial and Quantitative Analysis,34,513-531。  new window
3.Pliska, Stanley R.(1986)。A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios。Mathematics of Operations Research,11(2),371-382。  new window
4.Cox, John C.、Huang, Chi Fu(1991)。A variational problem arising in financial economics。Journal of Mathematical Economics,20(5),465-487。  new window
5.Bajeux-Besnainou, Isabelle、Jordan, James V.、Portait, Roland(2003)。Dynamic Asset Allocation for Stocks, Bonds, and Cash。Journal of Business,76(2),263-287。  new window
6.Boulier, J. F.、Huang, S. J.、Taillard, G.(2001)。Optimal Management under Stochastic Interest Rates: the Case of a Protected Defined Contribution Pension Fund。Insurance: Mathematics and Economics,28,173-189。  new window
7.Brennan, M. J.、Schwartz, E. S.(1982)。An Equilibrium Model of Bond Pricing and a Test of Market Efficiency。Journal of Financial and Quantitative Analysis,17,301-329。  new window
8.Campbell, John Y.、Viceira, Luis M.(2001)。Who Should Buy Long-Term Bonds?。American Economic Review,91(1),99-127。  new window
9.Deelstra, G.、Grasselli, M.、Koehl, P. F.(2000)。Optimal Investment Strategies in a CIR Framework。Journal of Applied Probability,37,936-946。  new window
10.Jensen, B. A.、Sorensen, C.(2001)。Paying For Minimum Interest Rate Guarantee: Who Should Compensate Who?。European Financial Management,7,183-211。  new window
11.Karatzas, I.、Lehoczky, J. P.、Sethi, S. P.、Shreve, S. E.(1986)。Explicit Solutions of a General Consumption Investment Problem。Mathematics of Operations Research,11(2),261-294。  new window
12.Karatzas, I.、Lehoczky, J. P.、Sethi, S. P.、Shreve, S. E.(1987)。Optimal Portfolio and Consumption Decisions for a Small Investor on a Finite Horizon。SIAM Journal on Control and Optimization,25,1557-1586。  new window
13.Kim, T. S.、Omberg, E.(1996)。Dynamic Nonmyopic Portfolio Behavior。Review of Financial Studies,9,141-161。  new window
14.Rutkowski, M.(1999)。Self-financing Trading Strategies for Sliding, Rolling-horizon, and Consol Bonds。Mathematical Finance,9,361-365。  new window
15.Wachter, J. A.(2002)。Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets。Journal of Financial and Quantitative Analysis,37(1),63-91。  new window
16.Zhao, Y.、Ziemba, W. T.(2001)。A Stochastic Programming Model Using an Endogenously Determined Worst Case Risk Measure for Dynamic Asset Allocation。Mathematical Programming,89(2),293-309。  new window
17.Zhao, Y.、Haussann, U.、Ziemba, W. T.(2003)。A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome。Mathematical Finance,13,481-501。  new window
18.Merton, Robert C.(1971)。Optimum Consumption and Portfolio Rules in a Continuous-time Model。Journal of Economic Theory,3,373-413。  new window
19.Grossman, S.、Zhou, Z.(1996)。Equilibrium Analysis of Portfolio Insurance。Journal of Finance,51,1379-1403。  new window
20.Boyle, P.、Yang, H.(1997)。Asset Allocation with Time Variation in Expected Returns。Insurance: Mathematics and Economics,21,201-218。  new window
21.Cox, John C.、Huang, Chi-Fu(1989)。Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process。Journal of Economic Theory,49(1),33-83。  new window
22.Samuelson, P. A.(1969)。Lifetime Portfolio Selection by Dynamic Stochastic Programming。Review of Economics and Statistics,51(3),239-246。  new window
23.Stoll, H. R.(1969)。The Relationship between Put and Call Option Prices。Journal of Finance,24(5),801-824。  new window
24.Campbell, J. Y.、Viceira, L. M.(1999)。Consumption and Portfolio Decisions when Expected Returns are Time Varying。Quarterly Journal of Economics,114,433-495。  new window
25.Brennan, M. J.、Schwartz, E. S.、Lagnado, R.(1997)。Strategic Asset Allocation。Journal of Economic Dynamics and Control,21,1377-1403。  new window
26.Long, J. B.(1990)。The Numeraire Portfolio。Journal of Financial Economics,26,29-69。  new window
27.Basak, S.(1995)。A General Equilibrium Model of Portfolio Insurance。Review of Financial Studies,8,1059-1090。  new window
28.Sharpe, W. F.(1991)。Capital Asset Prices with and without Negative Holdings。Journal of Finance,46(2),489-509。  new window
29.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
30.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
31.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica,41(5),867-887。  new window
圖書
1.Merton, R. C.(1990)。Continuous Time Finance。Basil Blackwell。  new window
2.Petit, M. L.(1990)。Control theory and dynamic games in economic policy analysis。Cambridge University Press。  new window
圖書論文
1.Brennan, M. J.、Schwartz, E. S.(1998)。The Use of Treasury Bill Futures in Strategic Asset Allocation Programs。Worldwide Asset And Liability Modeling。Cambridge, England:Cambridge University Press。  new window
 
 
 
 
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