| 期刊論文1. | Chopra, V. K.、Ziemba, W. T.(1993)。The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice。Journal of Portfolio Management,19(4),6-11。 | 2. | Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。 | 3. | Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。 | 4. | Perold, André F.、Sharpe, William F.(1988)。Dynamic strategies for asset allocation。Financial Analysts Journal,44(1),16-27。 | 5. | 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。 | 6. | Cox, J. C.、Huang C.(1999)。Optimal Consumption and Portfolio Policies When Asset Prices follow a diffusion Process。Jornal of Economic Theory,49,33-83。 | 7. | Elam, E.、Dixon, B. L.(1988)。Examining the Validity of a Test of Funtures Market Efficiency。Journal of Futures Markets,8,365-375。 | 8. | Kusy, M. I.、Ziemba, W. T.(1986)。A Bank Asset and Liability Management Model。Operations Research,34(3),356-376。 | 9. | Mossin, J.(1968)。Optimal Multiperiod Portfolio Policies。Jorunal of Business,215-229。 | 會議論文1. | Chen, C. C.、Wu, S. D.、Dai, L.(1996)。Ordinal Comparison of Heuristic Algorithms Using Stochastic Optimization。 | 研究報告1. | Ziemba, W. T.(2003)。The Stochastic Programming Approach to Asset, Liability, and Wealth Management。 | 圖書1. | ampbell, J. Y.、Viceira, L. M.(2002)。Strategic Asset Allocation。Oxford, NY.。 | 2. | Carino D. R、Turner A. L.(1997)。Multistage Planning for Asset Allocation, World Wide Asset and Liability Modeling。 | 3. | Chacko, G.、Neumar K.(2006)。Perturbation Methods for Dynamic Portfolio Allocation Problems。Handbook of Asset and Liability Management。Elsevier, Amsterdam。 | 4. | Kouwenberg, R.、Zenios, S.(2006)。Stochastic Programming Models。Handbook of Asset and Liability Management。Elsevier, Amesterdam。 | |