| 期刊論文1. | 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。 | 2. | Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。 | 3. | Sharpe, William F.(1966)。Mutual fund performance。Journal of Business,39(1),119-138。 | 4. | Cooper, Michael J.、Gutierrez, Roberto C. Jr.、Hameed, Allaudeen(2004)。Market States and Momentum。Journal of Finance,59(3),1345-1365。 | 5. | Agarwal, V.、Naik,N. Y.(2004)。Characterizing hedge funds with buy-and-hold option based strategies。Review of Financial Studies,17(1),63-98。 | 6. | Cvitanic, J.、Lazrak, A.、Martellini, L.、Zapatero, F.(2003)。Optimal allocation to hedge funds: an empirical analysis。Quantitative Finance,3(1),28-39。 | 7. | Favre, L.、Galeano, J. A.(2002)。Mean-Modified Value-at-Risk Optimization with Hedge Funds。Journal of Alternative Investments,5(2),21-25。 | 8. | Favre, L.、Singer, A.(2002)。The Difficulties of Measuring the Benefits of Hedge Funds。Journal of Alternative Investments,5(1),31-41。 | 9. | Fung, W.、Hsieh, D. A.(1997)。Empirical characteristics of dynamic trading strategies: the case of hedge funds。Review of Financial Studies,10(2),275-302。 | 10. | Fung, W.、Hsieh, D. A.(1999)。A primer on hedge funds。Journal of Empirical Finance,6(3),309-331。 | 11. | Gregoriou, G.N.、Gueyie, J.P.(2003)。Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio。Journal of Alternative Investments,6(3),77-83。 | 12. | Kat, H.M.(2004)。Managed Futures and Hedge Funds: A Match Made in Heaven。Journal of Investment Management,2(1),32-40。 | 13. | Spurgin, R.(1999)。A Benchmark for Commodity Trading Advisor Performance。Journal of Alternative Investments,2(1),11-21。 | 14. | Kat, H.M.(2005)。Integrating Hedge Funds into the Traditional Portfolio。Journal of Wealth Management,7(4),51-57。 | 15. | Karavas, V.N.(2000)。Alternative investments in the institutional portfolio。Journal of Alternative Investments,3(3),11-26。 | 16. | Liang, B.(2003)。Alternative investments: CTAs, hedge funds, and funds-of-funds。Journal of Investment Management,2(4),76-93。 | 研究報告1. | Li, D.X.(1999)。Value-at-Risk Based on Volatility, Skewness and Kurtosis。 | 2. | Popova, I.、Morton, D.、Popova, E.(2003)。Optimal hedge fund allocation with asymmetric preferences and distributions。New York。 | 圖書1. | Philippe Jorion、陳勝源(2006)。金融風險管理。台北。 延伸查詢 | 2. | Richard A. Ferri、黃嘉斌(2007)。資產配置投資策略:建構最佳化投資組合之鑰。台北。 延伸查詢 | 3. | 鄭義(2007)。理論與實務(投資組合)。台北。 延伸查詢 | 4. | Bacon, C.R.(2008)。Practical portfolio performance: measurement and attribution。England。 | 5. | Brandimarte, P.(2006)。Numerical Methods in Finance and Economics: a MATLAB-based introduction。New Jersey。 | 6. | Gregoriou, G.N.、Hubner, G.、Papageorgious, N.、Rouah, F.(2005)。Hedge Funds:Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation。New Jersey。 | 7. | Rachev, S.T.、Menn, C.、Fabozzi, RJ.(2005)。Fat-tailed, and skewed asset return distributions: implications for risk management, portfolio selection, and option pricing。New Jersey。 | 8. | Gregoriou, G.N.、Zhu, J.(2005)。Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach。New Jersey。 | 9. | Jorion, P.(2007)。Financial risk manager handbooks。New Jersey。 | 10. | Till, H.F.、Eagleeye, J.,(2005)。A Hedge Fund Investor’s Guide to Understanding Managed Futures。Hedge Funds: Insights in Performance Measurement. Risk Analysis, and Portfolio Allocation. Chapter 23.。 | 11. | Bodson, L.、Coen, A.、Hubner, G.(2008)。A Comparison between Optimal Allocations Based on the Modified VaR and on a Utility-Based Risk Measure。The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance. And Portfolio Management. Chapter 3 (Gregoriou, G.N. Ed.)。 | |