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題名:Portfolio Insurance in the Long Term Asset Management
書刊名:財務金融學刊
作者:李懷義 引用關係何怡滿 引用關係謝宗佑許溪南
作者(外文):Lee, Huai-iHo, EmilyHsieh, Tzung-yuanHsu, Hsi-nan
出版日期:2013
卷期:21:3
頁次:頁97-123
主題關鍵詞:投資組合保險長期資產管理損失趨避風險趨避權變制輪式要保額度投資組合保險策略Portfolio insuranceLong-term asset managementLoss aversionRisk
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(1) 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:1
  • 共同引用共同引用:0
  • 點閱點閱:133
期刊論文
1.Lien, D.(2002)。A note on the relationship between some risk-adjusted performance measures。Journal of Futures Markets,22,483-495。  new window
2.Leggio, K. B.、Lien, D.(2003)。An empirical examination of the effectiveness of dollar-cost averaging using downside risk performance measure。Journal of Economics and Finance,27(2),211-223。  new window
3.Sortino, F. A.、Price, L.(1994)。Performance measurement in a downside risk framework。Journal of Investing,24(3),59-64。  new window
4.Berkelaar, Arjan B.、Kouwenberg, Roy、Post, Thierry(2004)。Optimal portfolio choice under loss aversion。The Review of Economics and Statistics,86(4),973-987。  new window
5.Brennan, Michael J.、Schwartz, Eduardo S.(1989)。Portfolio insurance and financial market equilibrium。Journal of Business,62(4),455-472。  new window
6.Do, Binh Huu、Faff, Robert W.(2004)。Do futures-based strategies enhance dynamic portfolio insurance?。The Journal of Futures Markets,24,591-608。  new window
7.Kritzman, Mark、Rich, Don(2002)。The mismeasurement of risk。Financial Analysts Journal,58(3),91-99。  new window
8.Lee,Huai-I、Min-Hsien Chiang、Hsinan Hsu(2008)。A new choice of dynamic asset management: the variable proportion portfolio insurance。Applied Economics,40,2135-2146。  new window
9.Leibowitz,Martin L.、Stanley Kogelman(1991)。Asset allocation under shortfall constraints。Journal of Portfolio Management,17,18-24。  new window
10.Scott, Louis O.(1997)。Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: applications of Fourier inversion methods。Mathematical Finance,7(4),413-424。  new window
11.Wilcox, Jarrod(2003)。Harry Markowitz and the discretionary wealth hypothesis。Journal of Portfolio management,29,58-65。  new window
12.Barber, Brad M.、Odean, Terrance(2002)。Online Investors: Do the Slow Die First?。Review of Financial Studies,15(2),455-487。  new window
13.Kritzman, Mark、Estep, Tony(1988)。TIPP: Insurance without Complexity。The Journal of Portfolio Management,14,38-42。  new window
14.Etzioni, S. Ethan(1986)。Rebalance disciplines for portfolio insurance。The Journal of Portfolio Management,13(1),59-62。  new window
15.Thaler, R. H.、Tversky, A.、Kahneman, D.、Schwartz, A.(1997)。The Effect of Myopia and Loss Aversion on Risk Taking: An Experimental Test。The Quarterly Journal of Economics,112(2),647-661。  new window
16.Roy, Arthur D.(1952)。Safety First and the Holding of Assets。Econometrica,20(3),431-449。  new window
17.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。  new window
18.Boyle, Phelim P.(1977)。Options: A Monte Carlo Approach。Journal of Financial Economics,4(3),323-338。  new window
19.Kahneman, D.、Tversky, A.(1979)。Prospect theory: An analysis of decision under risk。Econometrica,47(2),263-291。  new window
20.Benartzi, Shlomo、Thaler, Richard H.(1995)。Myopic Loss Aversion and the Equity Premium Puzzle。Quarterly Journal of Economics,110(1),73-92。  new window
21.Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。  new window
22.Black, Fischer、Perold, André F.(1992)。Theory of constant proportion portfolio insurance。Journal of Economic Dynamics and Control,16(3/4),403-426。  new window
23.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。An Intertemporal General Equilibrium Model of Asset Prices。Econometrica,53(2),363-384。  new window
24.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。  new window
25.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
26.Tversky, Amos、Kahneman, Daniel(1992)。Advances in prospect theory: Cumulative representation of uncertainty。Journal of Risk and Uncertainty,5(4),297-323。  new window
27.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
28.Barber, Brad M.、Odean, Terrance(2001)。Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment。The Quarterly Journal of Economics,116(1),261-292。  new window
研究報告
1.Plantinga, A.、van der Meer, R.、Sortino, F.(2001)。The impact of downside risk on risk-adjusted performance of mutual funds in the Euronext markets。  new window
圖書
1.Ibbotson, Roger G.、Rex A. Sinquefield(1989)。Stocks,Bonds,Bills, and Inflation: Historical Returns。The Research Foundation of The Institute of Chartered Financial Analysts。  new window
2.Jacobs, Bruce I.(1984)。Is Portfolio Insurance Appropriate for the Long-Term Investor?。Newark, NJ:Prudential Asset Management。  new window
3.Hull, John C.(2006)。Options, Futures, and Other Derivatives。Upper Saddle River, New Jersey:The Pearson Press。  new window
其他
1.Jacobs, Bruce I.(19830822)。The portfolio insurance puzzle。  new window
 
 
 
 
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