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題名:管理期貨與避險基金對於投資組合績效之實證分析
書刊名:臺灣期貨與衍生性商品學刊
作者:程言信 引用關係甘佩偵
出版日期:2010
卷期:10
頁次:頁55-94
主題關鍵詞:管理期貨避險基金投資組合修正風險值修正夏普比率Managed futuresHedge fundsPortfolioMVaRMSharpe
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:24
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。  new window
2.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
3.Sharpe, William F.(1966)。Mutual fund performance。Journal of Business,39(1),119-138。  new window
4.Cooper, Michael J.、Gutierrez, Roberto C. Jr.、Hameed, Allaudeen(2004)。Market States and Momentum。Journal of Finance,59(3),1345-1365。  new window
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。  new window
6.Cvitanic, J.、Lazrak, A.、Martellini, L.、Zapatero, F.(2003)。Optimal allocation to hedge funds: an empirical analysis。Quantitative Finance,3(1),28-39。  new window
7.Favre, L.、Galeano, J. A.(2002)。Mean-Modified Value-at-Risk Optimization with Hedge Funds。Journal of Alternative Investments,5(2),21-25。  new window
8.Favre, L.、Singer, A.(2002)。The Difficulties of Measuring the Benefits of Hedge Funds。Journal of Alternative Investments,5(1),31-41。  new window
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。  new window
10.Fung, W.、Hsieh, D. A.(1999)。A primer on hedge funds。Journal of Empirical Finance,6(3),309-331。  new window
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。  new window
12.Kat, H.M.(2004)。Managed Futures and Hedge Funds: A Match Made in Heaven。Journal of Investment Management,2(1),32-40。  new window
13.Spurgin, R.(1999)。A Benchmark for Commodity Trading Advisor Performance。Journal of Alternative Investments,2(1),11-21。  new window
14.Kat, H.M.(2005)。Integrating Hedge Funds into the Traditional Portfolio。Journal of Wealth Management,7(4),51-57。  new window
15.Karavas, V.N.(2000)。Alternative investments in the institutional portfolio。Journal of Alternative Investments,3(3),11-26。  new window
16.Liang, B.(2003)。Alternative investments: CTAs, hedge funds, and funds-of-funds。Journal of Investment Management,2(4),76-93。  new window
研究報告
1.Li, D.X.(1999)。Value-at-Risk Based on Volatility, Skewness and Kurtosis。  new window
2.Popova, I.、Morton, D.、Popova, E.(2003)。Optimal hedge fund allocation with asymmetric preferences and distributions。New York。  new window
圖書
1.Philippe Jorion、陳勝源(2006)。金融風險管理。台北。  延伸查詢new window
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new window
3.鄭義(2007)。理論與實務(投資組合)。台北。  延伸查詢new window
4.Bacon, C.R.(2008)。Practical portfolio performance: measurement and attribution。England。  new window
5.Brandimarte, P.(2006)。Numerical Methods in Finance and Economics: a MATLAB-based introduction。New Jersey。  new window
6.Gregoriou, G.N.、Hubner, G.、Papageorgious, N.、Rouah, F.(2005)。Hedge Funds:Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation。New Jersey。  new window
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。  new window
8.Gregoriou, G.N.、Zhu, J.(2005)。Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach。New Jersey。  new window
9.Jorion, P.(2007)。Financial risk manager handbooks。New Jersey。  new window
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.。  new window
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.)。  new window
 
 
 
 
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