| 期刊論文1. | Frost, P. A.、Savarino, J. E.(1986)。An Empirical Bayes Approach to Efficient Portfolio Selection。Journal of Financial and Quantitative Analysis,21(3),293-305。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Campbell, R.、Huisman, R.、Koedijk, K.(2001)。Optimal Portfolio Selection in a Value-at-Risk Framework。Journal of Banking and Finance,25(9),1789-1804。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Geman, S.、Geman, D.(1984)。Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images。IEEE Transactions on Pattern Analysis and Machine Intelligence,6(6),721-741。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Bollerslev, Tim(1988)。On The Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process。Journal of Time Series Analysi,9(2),121-131。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Metropolis, N.、Rosenbluth, A. W.、Rosenbluth, M. N.、Teller, A. H.、Teller, E.(1953)。Equations of State Calculations by Fast Computing Machines。The Journal of Chemical Physics,21(6),1087-1092。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書1. | Tsay, R. S.(2005)。Analysis of financial time series。Hoboken, NJ:Wiley-Interscience。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Gill, P. E.、Murray, W.、Wright, M. H.(1981)。Practical Optimization。Academic Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Von Neumann, John、Morgenstern, Oskar(1944)。Theory of games and economic behavior。Princeton University Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 其他1. | Alex, G., Douglas, H. J. and William, E. S.(2006)。Portfolio selection using hierarchical Bayesian analysis and MCMC methods。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Anderson, S., A. de Palma and Thisse, J. F.(1992)。Discrete choice theory of product differentiation。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Andre, L. and Pieter, K.(1998)。Extreme returns, downside risk, and optimal asset allocation。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Hastings, W. K.(1970)。Monte Carlo sampling methods using Markov chains and their applications。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Liu, J. C.(2000)。Estimation and testing for the multivariate GARCH model。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Refik, S. and Kadir, T.(2006)。Bayesian portfolio selection with multi-variate random variance models。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Rombouts, J. V. K. and Verbeek, M.(2005)。Evaluating portfolio Value-at-Risk using semi-parametric GARCH models。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Saha, A.(1993)。Expo-power utility: a ‘flexible’ form for absolute and relative risk aversion。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Schittowski, K.(1980)。Nonlinear Programming Codes。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Schittowski, K.(1985)。NLQPL: a FORTRAN subroutine solving constrained nonlinear programming problems。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Stein, C.(1955)。Inadmissibility of the usual estimator for the mean of a multivariate normal distribution。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書論文1. | James, W.、Stein, C.(1961)。Estimation with quadratic loss。Proc. Fourth Berkeley Symp. Math. Statist. Prob.。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |