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題名:Performance of Synthetic Insurance Strategies under Crash Conditions
書刊名:證券市場發展季刊
作者:徐燕山 引用關係
作者(外文):Hsu, Yenshan
出版日期:1996
卷期:8:2=30
頁次:頁89-117
主題關鍵詞:Portfolio insuranceFixed floor strategyPercentage floor strategyMixed floor strategy投資組合保險固定要保額度策略固定比率額度策略混合要保額度策略
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:1
  • 點閱點閱:14
期刊論文
1.Clarke, Roger G.、Arnott, Robert D.(1987)。The Cost of Portfolio Insurance: Tradeoffs and Choices。Financial Analysts Journal,43(6),35-48。  new window
2.Etzioni, S. E.(1986)。Rebalance disciplines for portfolio insurance。Journal of Portfolio Management,13(1),59-62。  new window
3.Zhu, Y. J.、Kavee, R. C.(1988)。Performance of portfolio Insurance Strategies。Journal of Portfolio Management,14(4),48-54。  new window
4.Black, Fischer、Jones, Robert C.(1987)。Simplifying portfolio insurance。Journal of Portfolio Management,14(1),48-51。  new window
5.Rubinstein, Mark(1985)。Alternative Paths to Portfolio Insurance。Financial Analysts Journal,41(4),42-52。  new window
6.Sharpe, William F.(1987)。Integrated Asset Allocation。Financial Analysts Journal,43,25-32。  new window
7.Rendleman, Richard J. Jr.、O'Brien, Thomas J.(1990)。The Effects of Volatility Misestimation on option-Replication Portfolio Insurance。Financial Analysts Journal,46(3),61-70。  new window
8.Estep, T.、Kritzman, M.(1988)。TIPP: Insurance without complexity。Journal of Portfolio Management,14(4),38-42。  new window
9.Rubinstein, M.、Leland, H.(1981)。Replicating Options with Positions in Stocks and Cash。Financial Analysts Journal,37,63-72。  new window
10.徐燕山(19960100)。Evaluating the Performance of a Synthetic Put Strategy with Alternative Volatility Forecasts: The Case of Taiwan。中國財務學刊,3(2),1-34。new window  new window
11.Lin, Y.(1992)。Adjustment Discipline for Portfolio Insurance: Tradeoff and Choices。NTU Management Review,3,1-31。  new window
12.Garcia, C. B.、Gould, F. J.(1987)。An Empirical Study of Portfolio Insurance。Financial Analysts Journal,43(4),44-54。  new window
13.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
14.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
15.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
單篇論文
1.Yu, M.,Hsu, F.(1994)。Portfolio Insurance with Option Replication in Taiwan,Chung-Li:National Central University。  new window
其他
1.(19931127)。A Survey of Investment Management。  new window
 
 
 
 
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