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題名:長期投資組合管理之權變避險模式
書刊名:期貨與選擇權學刊
作者:許溪南蔡孟哲楊德源 引用關係
作者(外文):Hsu, HsinanTsai, Meng-cheYang, Der-yuan
出版日期:2018
卷期:11:1
頁次:頁75-114
主題關鍵詞:權變避險模式長期投資元大臺灣50技術分析臺指期Contingent hedging modelLong-term portfolioYuanta Taiwan 50Technical analysisTAIEX Futures
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:15
  • 點閱點閱:77
期刊論文
1.Jorion, P.(2003)。Portfolio Optimization with Tracking-Error Constraints。Financial Analysts Journal,59(5),70-82。  new window
2.黃彥聖(19950100)。移動平均法的投資績效。管理評論,14(1),47-67。new window  延伸查詢new window
3.Lo, Andrew W.、Mamaysky, Harry M.、Wang, Jiang(2000)。Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation。Journal of Finance,55(4),1705-1765。  new window
4.Ghosh, Asim(1993)。Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model。Journal of Futures Markets,13(7),743-752。  new window
5.Pruitt, Stephen W.、White, R. E.(1988)。The CRISMA Trading System: Who Says Technical Analysis can't beat the Market?。Journal of Portfolio Management,14(3),55-58。  new window
6.Brock, William、Lakonishok, Josef、LeBaron, Blake(1992)。Simple Technical Trading Rules and the Stochastic Properties of Stock Returns。The Journal of Finance,47(5),1731-1764。  new window
7.Hsu, P. H.、Kuan, C. M.(2005)。Reexamining the Profitability of Technical Analysis with Data Snooping Checks。Journal of Financial Econometrics,3(4),606-628。  new window
8.Kenourgios, D.、Samitas, A.、Dorsos, P.(2008)。Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract。International Journal of Risk Assessment and Management,9(1/2),121-134。  new window
9.許溪南、何怡滿、劉泰山(20110300)。KD及MACD在避險時機之應用:以臺指期貨避險為例。東吳經濟商學學報,72,109-138。new window  延伸查詢new window
10.Park, C. H.、Irwin, S. H.(2007)。What Do We Know about the Profitability of Technical Analysis?。Journal of Economic Surveys,21(4),786-826。  new window
11.Bansal, Vipul K.、Marshall, John F.(2015)。A Tracking Error Approach to Leveraged ETFs: Are They Really That Bad?。Global Finance Journal,26,47-63。  new window
12.許溪南、賴彌煥(20001100)。權變投資組合保險在臺灣股市之應用。風險管理學報,2(2),89-118。new window  延伸查詢new window
13.Akhigbe, A.、Makar, S.、Wang, L.、Whyte, A. M.(2018)。Interest Rate Derivatives Use in Banking: Market Pricing Implications of Cash Flow Hedges。Journal of Banking & Finance,86,113-126。  new window
14.Chang, S. L.、Hsu, Y. W.(2017)。An Investigation of Short- and Long-term Tracking Performance and Portfolio Simulation of Leveraged and Inverse ETFs。Journal of Futures and Options,10(3),85-165。  new window
15.Coqueret, G.、Martellini, L.、Milhau, V.(2017)。Equity Portfolios with Improved Liability-Hedging Benefits。Journal of Portfolio Management,43(2),37-49。  new window
16.Fama, E. F.(1970)。Efficient Capital Market: A Review of Theory and Empirical Works。Journal of Finance,25,383-417。  new window
17.Kwon, K. Y.、Kish, R. J.(2002)。Technical Strategies and Return Predictability: NYSE。Applied Financial Economics,12,639-653。  new window
18.Lee, T. S.、Lin, C. C.(2017)。The Factors Affecting Tracking Errors of Leveraged and Inverse ETF in Taiwan, Japan and Korea。Journal of Futures and Options,10(2),51-87。  new window
19.許溪南、何怡滿、張瓊如(20120100)。KD 與MA 技術指標在避險時機之應用:以臺指選擇權為例。輔仁管理評論,19(1),27-46。new window  延伸查詢new window
20.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
21.許溪南、何怡滿、劉玉琦(20090200)。權變避險模式在臺灣股市之應用。臺灣管理學刊,9(1),23-46。new window  延伸查詢new window
22.Alexander, Sidney S.(1961)。Price Movements in Speculative Markets: Trends or Random Walks。Industrial Management Review,2(2),7-26。  new window
23.Szakmary, Andrew、Davidson, W. N. III、Schwarz, T. V.(1999)。Filter Tests in Nasdaq Stocks。Financial Review,34(1),45-70。  new window
研究報告
1.Park, C. H.、Irwin, S. H.(2004)。The Profitability of Technical Analysis: A Review。  new window
學位論文
1.王邵佑(2000)。隨機指標(KD值)投資績效之實證研究(碩士論文)。國立臺北大學。  延伸查詢new window
2.洪國興(2011)。不同外匯避險部位、策略、工具及期間之避險效果(碩士論文)。國立中央大學。  延伸查詢new window
3.周怡貞(2004)。台灣進出口商最適避險時機之探討--以新台幣對美元為例(碩士論文)。國立成功大學。  延伸查詢new window
4.洪志豪(1999)。技術指標KD、MACD、RSI與WMS%R之操作績效實證(碩士論文)。國立臺灣大學。  延伸查詢new window
5.胡嘉琪(2012)。隨機指標、乖離率指標與指數股票型基金之報酬(碩士論文)。南台科技大學。  延伸查詢new window
圖書
1.Murphy, John J.、黃嘉斌(1999)。金融市場技術分析。臺北:寰宇財金。  延伸查詢new window
 
 
 
 
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