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題名:共整合分析在策略資產配置上之應用
書刊名:財金論文叢刊
作者:張健邦賴伊婷
作者(外文):Jang, Jiahn-bangLai, Yi-ting
出版日期:2010
卷期:12
頁次:頁70-87
主題關鍵詞:共整合策略資產配置條件風險值效率前緣CointegrationStrategic asset allocationConditional value at riskEfficient frontier
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)
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  • 共同引用共同引用:0
  • 點閱點閱:25
期刊論文
1.Artzner, P.、Delbaen, F.、Eber, J. M.、Heath, D.(1999)。Coherent Measure of Risk。Mathematical Finance,9(3),203-228。  new window
2.Rockafellar, R. T.、Uryasev, S.(2000)。Optimization of Conditional Value-at-Risk。Journal of Risk,2(3),21-42。  new window
3.Arshanapalli, B.、Doukas, J.(1993)。International stock market linkages: Evidence from the pre-and post-October 1987 period。Journal of Banking and Finance,17(1),193-208。  new window
4.Corhay, A.、Rad, A. T.、Urbain, J. P.(1993)。Common stochastic trends in European stock markets。Economics Letters,42(4),385-390。  new window
5.Cheung, Y. W.、Lai, K. S.(1993)。Finite Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration。Oxford Bulletin of Economics and Statistics,55(3),313-328。  new window
6.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
7.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
8.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
9.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
10.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
11.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
12.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。  new window
13.Bange, Mary M.、Miller, Thomas W.Jr.(2004)。Return momentum and global portfolio allocations。Journal of Empirical Finance,11(4),429-459。  new window
14.Serletis, A.(1993)。Money and Stock Price in the United States。Applied Financial Economics,3,51-54。  new window
15.Sanju n Ana I.、Dawson, Philip J.、Hubbard, Lionel J. , Shigeto, Sawako.(2009)。Rents and Land Prices in Japan: A Panel Cointegration Approach。Land Economics,85(4),587-597。  new window
16.Campbell, John Y.、Chan, Yeung Lewis、Viceira, Luis M.(2003)。A multivariate model of strategic asset allocation。Journal of Financial Economics,67(1),41。  new window
17.Duarte, A. M.、Alcantara, S. D. R.(1999)。Mean-Value-at-Risk Optimal Portfolios with Derivatives。Derivatives Quarterly,6(2),56-64。  new window
18.De Brouwer、Philippe J. S.(2009)。Maslowian Portfolio Theory: An alternative formulation of the Behavioural Portfolio Theory。Journal of Asset Management,9(6),359-365。  new window
19.Roland Fuss、Kaiser, Dieter(2007)。The tactical and strategic value of hedge fund strategies: a cointegration approach。Financial Markets and Portfolio Management,21(4),425-444。  new window
20.Gregoriou Andros、Alexandros, Kontonikas(2010)。The long-run relationship between stock prices and goods prices: New evidence from panel cointegration。Journal of International Financial Markets, Institutions & Money,20(2),166-176。  new window
21.Kat, H. M.(2003)。The Dangers of Using Correlation to Measure Dependence。J. Altern. Invest.,6(2),54-58。  new window
研究報告
1.Lucas, A.(1997)。Strategic and Tactical Asset Allocation and the Effect of Long-Run Equilibrium Relations。  new window
學位論文
1.張肇育(2002)。不同風險衡量指標下投資效率之分析與探討(碩士論文)。國立中正大學。  延伸查詢new window
2.黃佳雯(2004)。臺灣遠期外匯市場重新開放後通貨替代之實證研究。國立臺北大學。  延伸查詢new window
3.許倫維(2006)。探討在Mean-Variance模型下,VaR或CVaR的條件限制對投資組合選擇的影響。國立清華大學。  延伸查詢new window
圖書
1.楊奕農(2005)。時間序列分析--經濟與財務上之應用。臺北:雙葉書廊有限公司。  延伸查詢new window
 
 
 
 
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