:::

詳目顯示

回上一頁
題名:比較三種常用多維模型之貝氏最佳投資組合
書刊名:中國統計學報
作者:樊采虹謝惠真林琬真
作者(外文):Fang, Tsai-hungHsieh, Hui-janeLin, Wan-jen
出版日期:2012
卷期:50:4
頁次:頁220-241
主題關鍵詞:投資組合均值-共變異數效用函數風險值AR-GARCH模型PortfolioMean-varianceDirect-utilityValue-at-riskAR-GARCH model
原始連結:連回原系統網址new window
相關次數:
  • 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:20
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。  new window
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。  new window
3.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
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。  new window
5.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
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。  new window
7.Bollerslev, Tim(1988)。On The Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process。Journal of Time Series Analysi,9(2),121-131。  new window
8.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
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。  new window
圖書
1.Tsay, R. S.(2005)。Analysis of financial time series。Hoboken, NJ:Wiley-Interscience。  new window
2.Gill, P. E.、Murray, W.、Wright, M. H.(1981)。Practical Optimization。Academic Press。  new window
3.Von Neumann, John、Morgenstern, Oskar(1944)。Theory of games and economic behavior。Princeton University Press。  new window
其他
1.Alex, G., Douglas, H. J. and William, E. S.(2006)。Portfolio selection using hierarchical Bayesian analysis and MCMC methods。  new window
2.Anderson, S., A. de Palma and Thisse, J. F.(1992)。Discrete choice theory of product differentiation。  new window
3.Andre, L. and Pieter, K.(1998)。Extreme returns, downside risk, and optimal asset allocation。  new window
4.Hastings, W. K.(1970)。Monte Carlo sampling methods using Markov chains and their applications。  new window
5.Liu, J. C.(2000)。Estimation and testing for the multivariate GARCH model。  new window
6.Refik, S. and Kadir, T.(2006)。Bayesian portfolio selection with multi-variate random variance models。  new window
7.Rombouts, J. V. K. and Verbeek, M.(2005)。Evaluating portfolio Value-at-Risk using semi-parametric GARCH models。  new window
8.Saha, A.(1993)。Expo-power utility: a ‘flexible’ form for absolute and relative risk aversion。  new window
9.Schittowski, K.(1980)。Nonlinear Programming Codes。  new window
10.Schittowski, K.(1985)。NLQPL: a FORTRAN subroutine solving constrained nonlinear programming problems。  new window
11.Stein, C.(1955)。Inadmissibility of the usual estimator for the mean of a multivariate normal distribution。  new window
圖書論文
1.James, W.、Stein, C.(1961)。Estimation with quadratic loss。Proc. Fourth Berkeley Symp. Math. Statist. Prob.。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top