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題名:資產配置最佳化問題之探討:單期與多期模式
書刊名:玄奘管理學報
作者:許晉雄 引用關係
作者(外文):Hsu, Chin-hsiung
出版日期:2010
卷期:7:2
頁次:頁165-201
主題關鍵詞:資產配置動態規劃多期隨機過程線性規劃模型Asset allocationDynamic programmingMulti-period stochastic processLinear programming model
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:25
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。  new window
2.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
3.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
4.Perold, André F.、Sharpe, William F.(1988)。Dynamic strategies for asset allocation。Financial Analysts Journal,44(1),16-27。  new window
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。  new window
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。  new window
7.Elam, E.、Dixon, B. L.(1988)。Examining the Validity of a Test of Funtures Market Efficiency。Journal of Futures Markets,8,365-375。  new window
8.Kusy, M. I.、Ziemba, W. T.(1986)。A Bank Asset and Liability Management Model。Operations Research,34(3),356-376。  new window
9.Mossin, J.(1968)。Optimal Multiperiod Portfolio Policies。Jorunal of Business,215-229。  new window
會議論文
1.Chen, C. C.、Wu, S. D.、Dai, L.(1996)。Ordinal Comparison of Heuristic Algorithms Using Stochastic Optimization。  new window
研究報告
1.Ziemba, W. T.(2003)。The Stochastic Programming Approach to Asset, Liability, and Wealth Management。  new window
圖書
1.ampbell, J. Y.、Viceira, L. M.(2002)。Strategic Asset Allocation。Oxford, NY.。  new window
2.Carino D. R、Turner A. L.(1997)。Multistage Planning for Asset Allocation, World Wide Asset and Liability Modeling。  new window
3.Chacko, G.、Neumar K.(2006)。Perturbation Methods for Dynamic Portfolio Allocation Problems。Handbook of Asset and Liability Management。Elsevier, Amsterdam。  new window
4.Kouwenberg, R.、Zenios, S.(2006)。Stochastic Programming Models。Handbook of Asset and Liability Management。Elsevier, Amesterdam。  new window
 
 
 
 
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