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題名:Portfolio Selection of Institutional Investors Based on Value Function
書刊名:管理學報
作者:郭志安 引用關係顏錫銘 引用關係
作者(外文):Guo, ZionYen, Simon H.
出版日期:2008
卷期:25:1
頁次:頁31-49
主題關鍵詞:價值函數展望理論資產配置機構投資人Value functionProspect theoryPortfolio selectionInstitutional investor
原始連結:連回原系統網址new window
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  • 點閱點閱:20
期刊論文
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3.Viceira, Luis M.(2001)。Optimal Portfolio Choice for Long-horizon Investors with Nontradable Labor Income。Journal of Finance,56(2),433-470。  new window
4.Bodie, Zvi、Merton, Robert C.、Samuelson, William F.(1992)。Labor Supply Flexibility and Portfolio Choice in a Life Cycle Model。Journal of Economic Dynamics & Control,16(3/4),427-449。  new window
5.Del Guercio, Diane、Tkac, Paula A.(2002)。The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds。Journal of Financial and Quantitative Analysis,37(4),523-557。  new window
6.Markowitz, Harry(1952)。The Utility of Wealth。Journal of Political Economy,60(2),151-158。  new window
7.Allen, Franklin(2001)。Do Financial Institutions Matter?。The Journal of Finance,56,1165-1175。  new window
8.Blake, David、Lehmann, Bruce N.、Timmermann, Allan(1999)。Asset Allocation Dynamics and Pension Fund Performance。Journal of Business,72,429-461。  new window
9.Sørensen, C.(1999)。Dynamic Asset Allocation and Fixed Income Management。Journal of Financial and Quantitative Analysis,34,513-531。  new window
10.Lioui, Abraham、Poncet, Patrice(2001)。On Optimal Portfolio Choice under Stochastic Interest Rates。Journal of Economic Dynamics and Control,25,1841-1865。  new window
11.Xia, Y.(2001)。Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation。Journal of Finance,56,205-246。  new window
12.Grinblatt, Mark、Titman, Sheridan(1994)。A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques。Journal of Financial and Quantitative Analysis,29,419-444。  new window
13.Merton, Robert C.(1971)。Optimum Consumption and Portfolio Rules in a Continuous-time Model。Journal of Economic Theory,3,373-413。  new window
14.Merton, Robert C.(1969)。Lifetime Portfolio Selection under Uncertainty: The Continuous-time Case。The Review of Economics and Statistics,51(3),247-257。  new window
15.Jense, M. C.(1969)。Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios。Journal of Business,42(2),167-247。  new window
16.Gruber, Martin J.(1996)。Another Puzzle: The Growth in Actively Managed Mutual Funds。Journal of Finance,51(3),783-810。  new window
17.Zingales, Luigi(2000)。In Search of New Foundations。Journal of Finance,55(4),1623-1653。  new window
18.Campbell, John Y.(2000)。Asset Pricing at the Millennium。Journal of Finance,55(4),1515-1567。  new window
19.Kahneman, D.、Tversky, A.(1979)。Prospect theory: An analysis of decision under risk。Econometrica,47(2),263-291。  new window
20.Ellsberg, Daniel(1961)。Risk, Ambiguity, and the Savage Axioms。The Quarterly Journal of Economics,75(4),643-669。  new window
21.郭志安、顏錫銘(20060400)。Determining Institutional Investor's Dynamic Asset Allocation。財務金融學刊,14(1),77-94。new window  延伸查詢new window
22.Ippolito, Richard A.(1992)。Consumer reaction to measures of poor quality: Evidence from the mutual fund industry。The Journal of Law & Economics,35(1),45-70。  new window
23.Zheng, Lu(1999)。Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability。Journal of Finance,54(3),901-933。  new window
24.Edwards, Ward(1954)。The Theory of Decision Making。Psychological Bulletin,51(4),380-417。  new window
25.Roll, Richard(1978)。Ambiguity When Performance Is Measured by the Securities Market Line。Journal of Finance,33(4),1051-1069。  new window
26.Sirri, E. R.、Tufano, P.(1998)。Costly Search and Mutual Fund Flows。Journal of Finance,53(5),1589-1622。  new window
27.Barberis, N.、Huang, M.、Santos, T.(2001)。Prospect Theory and Asset Prices。Quarterly Journal of Economics,116(1),1-54。  new window
28.Chevalier, Judith、Ellison, Glenn(1997)。Risk Taking by Mutual Funds as a Response To Incentives。Journal of Political Economy,105(6),1167-1200。  new window
29.Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance,53(5),1775-1798。  new window
30.Shefrin, Hersh、Statman, Meir(1985)。The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence。The Journal of Finance,40(3),777-790。  new window
31.Tversky, Amos、Kahneman, Daniel(1992)。Advances in prospect theory: Cumulative representation of uncertainty。Journal of Risk and Uncertainty,5(4),297-323。  new window
32.Gervais, Simon、Odean, Terrance(2001)。Learning to be Overconfident。Review of Financial Studies,14(1),1-27。  new window
33.Jensen, Michael C.(1968)。The performance of mutual funds in the period 1945-1964。Journal of Finance,23(2),389-416。  new window
34.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
35.Tversky, Amos、Kahneman, Daniel(1991)。Loss Aversion in Riskless Choice: A Reference-Dependent Model。The Quarterly Journal of Economics,106(4),1039-1061。  new window
36.Brennan, Michael J.、Schwartz, Eduardo S.、Lagnado, Ronald(1997)。Strategic Asset Allocation。Journal of Economic Dynamics and Control,21,1377-1403。  new window
37.顏錫銘、徐辜元宏(2003)。時變波動度下跨期退休基金管理之動態資產配置策略。經濟論文,31(3),229-261。  延伸查詢new window
38.Hung, Mao-Wei、Wang, J. Y.(2005)。Asset Prices under Prospect Theory and Habit Formation。Review of Pacific Basin Financial Markets and Policies,8,1-29。  new window
39.Allais, Par Maurice(1953)。Le Comportement de L'Homme Rationnel devant le Risque: Critique des Postulates et Axiomes de L'Ecole Americaine。Econometrica,21,503-546。  new window
40.Zank, Horst(2001)。Cumulative Prospect Theory for Parametric and Multiattribute Utilities。Mathematics of Operations Research,26,67-81。  new window
41.Currim, Imran S.、Sarin, Rakesh K.(1989)。Prospect versus Utility。Management Science,35,22-41。  new window
42.Smidts, A.(1997)。The Relationship between Risk Attitudes and Strength of Preference: A Test of Intrinsic Risk Attitude。Management Science,43,357-370。  new window
43.Sundaresan, Suresh M.(2000)。Continuous-time Methods in Finance: A Review and Assessment。Journal of Finance,55,1569-1622。  new window
44.Friedman, B. M.、Savage, L. J.(1948)。The Utility Analysis of Choice Involving Risk。Journal of Political Economy,56,279-304。  new window
45.Lynch, Anthony W.、Musto, David K.(2003)。How Investors Interpret Past Fund Return。Journal of Finance,58,2033-2058。  new window
46.Harless, David W.、Camerer, Colin F.(1994)。The Predictive Utility of Generalized Expected Utility Theories。Econometrica,62,1251-1289。  new window
47.Bajeux-Besnainou, Isabelle、Jordan, James V.、Portait, Roland(2003)。Dynamic Asset Allocation for Stocks, Bonds, and Cash。Journal of Business,76,263-287。  new window
48.Yaari, Menahem E.(1965)。Convexity in the Theory of Choice under Risk。The Quarterly Journal of Economics,79,278-290。  new window
圖書
1.Morgenstern, Oskar、Von Neumann, John(1944)。Theory of Games and Economic Behavior。New York, NY:Wiley。  new window
其他
1.Bank of Japan(2000)。Points on International Comparison of the Flow of Funds Accounts,0。  new window
圖書論文
1.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert(1992)。The Structure and Performance of the Money Management Industry。Brookings Papers on Economic Activity: Microeconomics。  new window
2.Patel, J.、Zeckhauser, R.、Hendricks, D.(1994)。Investment Flows and Performance: Evidence from Mutual Funds, cross-border Investments and New Issues。Japan, Europe and the International Financial Markets: Analytical and Empirical Perspectives。New York, NY:Cambridge University Press。  new window
 
 
 
 
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