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題名:Non-Myopic Portfolio Choice with Minimum Guarantees
書刊名:證券市場發展季刊
作者:張士傑 引用關係黃雅文 引用關係
作者(外文):Chang, Shih-chiehHwang, Ya-wen
出版日期:2010
卷期:22:1=85
頁次:頁73-104
主題關鍵詞:收益保證共同基金避險需求風險規避CRRAMinimum guaranteeMutual fundHedging demandRisk aversion
原始連結:連回原系統網址new window
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  • 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:72
期刊論文
1.Deelstra, Griselda、Grasselli, Martino、Koehl, Pierre-François(2003)。Optimal Investment Strategies in the Presence of a Minimum Guarantee。Insurance: Mathematics and Economics,33(1),189-207。  new window
2.Pliska, Stanley R.(1986)。A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios。Mathematics of Operations Research,11(2),371-382。  new window
3.Battocchio, Paolo、Menoncin, Francesco(2004)。Optimal Pension Management in a Stochastic Framework。Insurance: Mathematics and Economics,34(1),79-95。  new window
4.Boulier, Jean-François、Huang, Shao-Juan、Taillard, Grégory(2001)。Optimal Management under Stochastic Interest Rates: The Case of a Protected Defined Contribution Pension Fund。Insurance: Mathematics and Economics,28(2),173-189。  new window
5.Merton, Robert C.(1971)。Optimum Consumption and Portfolio Rules in a Continuous-time Model。Journal of Economic Theory,3,373-413。  new window
6.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
7.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica,53(2),385-408。  new window
8.Long, J. B.(1990)。The Numeraire Portfolio。Journal of Financial Economics,26,29-69。  new window
9.Bajeux-Besnainou, I.、Jordan, J. V.、Portait, R.(2003)。Dynamic Asset Allocation for Stocks, Bonds, and Cash。Journal of Business,76,263-287。  new window
10.Basak, S.(1995)。A General Equilibrium Model of Portfolio Insurance。Review of Financial Studies,8,1059-1090。  new window
11.Cox, J.、Huang, C. F.(1989)。Optimal Consumption and Portfolio Policies when Asset Prices. Follow a Diffusion Process。Journal of Economic Theory,49,33-83。  new window
12.Cox, J.、Huang, C. F.(1991)。A Variational Problem Arising in Financial Economics。Journal of Mathematical Economics,20,465-487。  new window
13.Deelstra, G.、Grasselli, M.、Koehl, P. F.(2000)。Optimal Investment Strategies in a CIR Framework。Journal of Applied Probability,37,936-946。  new window
14.Dempster, M. A. H.、Evstigneev, I. V.、Schenk-Hoppe, K. R.(2003)。Exponential Growth of Fixed-Mix Strategies in Stationary Asset Markets。Finance and Stochastics,7,263-276。  new window
15.Grossman, S. J.、Zhou, Z.(1996)。Equilibrium Analysis of Portfolio Insurance。Journal of Finance,51,1379-1403。  new window
16.Karatzas I.(1989)。Optimization Problems in the Theory of Continuous Trading。SIAM Journal on Control and Optimization,27,1221-1259。  new window
17.Karatzas, I.、Lehoczky, J. P.、Shreve, S.(1987)。Optimal Portfolio and Consumption Decision for a 'Small Investor' on a Finite Horizon。SIAM Journal on Control and Optimization,25,1557-1586。  new window
18.Lien, C .H.、Liao, S. L.、Lee, C. F.(2005)。Empirical Comparison of Interest Rate Models: The Case of Taiwan Commercial Paper Rate。Management Review,24,29-53。  new window
19.Ralfe, J.、Speed, C.、Palin, J.(2004)。Pension and Capital Structure: Why Hold Equities in the Pension Fund?。North American Actuarial Journal,8,103-113。  new window
20.Rutkowski, M.(1999)。Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds。Mathematical Finance,9,361-385。  new window
圖書
1.Merton, R. C.(1990)。Continuous Time Finance, Basil Blackwell。Continuous Time Finance, Basil Blackwell。Cambridge, MA。  new window
2.Karatzas, I.、Shreve, S.(1991)。Brownian Motion and Stochastic Calculus。Berlin。  new window
 
 
 
 
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