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題名:投資組合保險發展的回顧與展望
書刊名:臺灣銀行季刊
作者:許溪南
出版日期:2018
卷期:69:2
頁次:頁109-130
主題關鍵詞:投資組合保險風險管理資產配置短期功能長期功能
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:0
  • 共同引用共同引用:5
  • 點閱點閱:4
期刊論文
1.MacKenzie, Donald(2004)。The Big, Bad Wolf and the Rational Market: Portfolio Insurance, the 1987 Crash and the Performativity of Economics。Economy and Society,33(3),303-334。  new window
2.Brennan, Michael J.、Schwartz, Eduardo S.(1989)。Portfolio insurance and financial market equilibrium。Journal of Business,62(4),455-472。  new window
3.Etzioni, S. Ethan(1986)。Rebalance disciplines for portfolio insurance。The Journal of Portfolio Management,13(1),59-62。  new window
4.Grossman, Sanford J.、Zhou, Zhongquan(1996)。Equilibrium Analysis of Portfolio Insurance。Journal of Finance,51(4),1379-1403。  new window
5.Annaert, Jan、Van Osselaer, Sofieke、Verstraete, Bert(2009)。Performance evaluation of portfolio insurance strategies using stochastic dominance criteria。Journal of Banking and Finance,33(2),272-280。  new window
6.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
7.Black, Fischer、Jones, Robert C.(1987)。Simplifying portfolio insurance。Journal of Portfolio Management,14(1),48-51。  new window
8.Shiller, Robert(1988)。Portfolio Insurance and Other Investor Fashions as Factors in the 1987 Stock Market Crash。NBER Macroeconomics Annual,3,287-297。  new window
9.Lee, Huai-I、Hsu, Hsinan、Chiang, Min-Hsien(2010)。Portfolio insurance with a dynamic floor。Journal of Derivatives & Hedge Funds,16(3),219-230。  new window
10.許溪南(20131100)。The Return Distribution, Properties, and Optimal Strike Price for the Portfolio Insurance Strategy。期貨與選擇權學刊,6(2),73-103。new window  new window
11.Basak, Suleyman(2002)。A Comparative Study of Portfolio Insurance。Journal of Economic Dynamics and Control,26,1217-1241。  new window
12.Longin, François(2001)。Portfolio Insurance and Market Crashes。Journal of Asset Management,2(2),136-161。  new window
13.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
14.Jacklin, Charles J.、Kleidon, Allan W.、Pfleiderer, Paul(1992)。Under-estimation of Portfolio Insurance and the Crash of October 1987。The Review of Financial Studies,5(1),35-63。  new window
15.Leland, Hayne E.(1980)。Option Pricing and Replication with Transactions Costs。Journal of Finance,40(5),1283-1301。  new window
16.Lee, Huai-I、Hsieh, T.-Y.、Kuo, Wen-Hsiu、Hsu, Hsinan(2015)。Can a Path-dependent Strategy Outperform a Path-independent Strategy?。The Quarterly Review of Economics and Finance,58,119-127。  new window
17.李懷義、何怡滿、謝宗佑、許溪南(20130900)。Portfolio Insurance in the Long Term Asset Management。財務金融學刊,21(3),97-123。new window  延伸查詢new window
18.Lee, Huai-I、Hsu, Hsinan、Hu, Len-Kuo、Lin, Ching-Chung(2011)。Portfolio Insurance with Ratchcted Floor as a Long-term Asset Management Strategy: Implications of Loss Aversion。Applied Economics Letters,18(15),1449-1454。  new window
19.Mantilla-Garcvía, Daniel(2015)。Growth Optimal Portfolio Insurance for Long-Term Investors。Journal of Investment Management,13(2),59-93。  new window
20.Leland, Hayne E.(1985)。Who Should Buy Portfolio Insurance?。Journal of Finance,35(2),581-594。  new window
21.Pézier, Jacques、Scheller, Johanna(2013)。Best Portfolio Insurance for Long-Term Investment Strategies in Realistic Conditions。Insurance: Mathematics and Economics,52(2),263-274。  new window
22.Pain, Darren、Rand, Jonathan(2008)。Recent Developments in Portfolio Insurance。Bank of England Quarterly Bulletin,2008(Q1),37-46。  new window
23.Kahneman, Daniel、Tversky, Amos(1979)。Prospect Theory: An Analysis of Decision under Risk。Econometrica: Journal of the Econometric Society,47(2),263-292。  new window
研究報告
1.Perold, André F.(1986)。Constant Proportion Portfolio Insurance。Harvard Business School。  new window
2.許溪南(2011)。Performance and Return Properties of Long-Term Protective Puts and Alternative Strategies: A Theoretical and Practical Investigation (計畫編號:NSC 99-2410-H-035-028)。  new window
3.Bertrand, Philippe、Prigent, Jean(2001)。Portfolio Insurance Strategies: OBPI Versus CPPI。  new window
學位論文
1.楊昌博(1995)。投資組合保險策略在台灣股市之實證研究--七種保險策略績效之比較(碩士論文)。國立成功大學。  延伸查詢new window
2.李懷義(2007)。變動比例投資組合保險策略及其在短期和長期資產管理上之應用(博士論文)。國立成功大學。new window  延伸查詢new window
3.金元宇(2004)。固定比例投資組合保險策略動態調整乘數績效研究-運用相對強弱指標為例(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.Jacobs, Bruce I.(1984)。Is Portfolio Insurance Appropriate for the Long-Term Investor?。Newark, NJ:Prudential Asset Management。  new window
2.Bilginsoy, Cihan(2014)。A History of Financial Crises: Dreams and Follies of Expectations。Amazon Digital Services LLC。  new window
其他
1.Bloomberg Reports(2017)。Structured Notes: Technology Issue。  new window
2.Jacobs, Bruce I.(1983)。The Portfolio Insurance Puzzle,http://www.jlem.com/articles/cimr/puzzle.pdf。  new window
3.Schay, Alex(1997)。Black Monday 10 Year after, 1987 Revisited,http://www.fool.com/features/1997/sp971017CrashAnniversaryFlawedInsurance.htm。  new window
圖書論文
1.Leland, Hayne E.、Rubinstein, Mark(1988)。The evolution of portfolio insurance。Dynamic Hedging: a Guide to Portfolio Insurance。New York:John Wiley and Sons。  new window
 
 
 
 
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