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題名:Evaluating the Performance of a Synthetic Put Strategy with Alternative Volatility Forecasts: The Case of Taiwan
書刊名:中國財務學刊
作者:徐燕山 引用關係
作者(外文):Hsu, Yenshan
出版日期:1996
卷期:3:2
頁次:頁1-34
主題關鍵詞:複製性賣權股市
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(2) 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:5
  • 點閱點閱:22
期刊論文
1.Whitmore, G. A.(1970)。Third Degree Stochastic Dominance。American Economic Review,60(3),457-459。  new window
2.Hsieh, David A.、Miller, Merton H.(1990)。Margin regulation and stock market volatility。Journal of Finance,45(1),3-30。  new window
3.Hadar, J.、Russell, William R.(1969)。Rules for ordering uncertain prospects。American Economic Review,59(1),25-34。  new window
4.Zhu, Y. J.、Kavee, R. C.(1988)。Performance of portfolio Insurance Strategies。Journal of Portfolio Management,14(4),48-54。  new window
5.Leland, H. E.(1985)。Option Pricing and Replication with Transaction Costs。Journal of Finance,40,1283-1301。  new window
6.Rubinstein, Mark(1985)。Alternative Paths to Portfolio Insurance。Financial Analysts Journal,41(4),42-52。  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.Rothschild, M.、Stiglitz, J. E.(1970)。Increasing Risk: I. A Definition。Journal of Economic Theory,2(3),225-243。  new window
10.林筠(19920500)。投資組合保險與調整法則:權衡與選擇。臺大管理論叢,3(1),1-31。new window  延伸查詢new window
11.Asay, M.、Edelsburg, C.(1986)。Can a Dynamic Strategy Replicate the Returns of an Option?。Journal of Futures Markets,6,63-70。  new window
12.Berndt, E.、Hall, B.、Hall, R.、Hausman, J.(1974)。Estimation and Influence in Nonlinear Structural Models。Annals of Economic and Social Measurement,4,653-665。  new window
13.Etzioni, E.(1986)。Rebalancing Disciplines for Portfolio Insurance。Journal of Portfolio Management,13,59-62。  new window
14.Lin, Y.(1991)。Performance of Portfolio Insurance Strategies。Taipei Bank Monthly Journal,22,2-10。  new window
15.Officer, R.(1973)。The Variability of the Market Factor of the New York Exchange。Journal of Business,46,434-452。  new window
16.Rubinstein, M.、Leland, H.(1981)。Replicating Options with Positions in Stocks and Cash。Financial Analysts Journal,37,63-72。  new window
17.Black, F.、Jones, R.(1987)。Simplifying Portfolio Insurance。Journal of Portfolio Management,13,48-51。  new window
18.Christie, A.(1982)。The Stochastic Behavior of Common Stock Variances。Journal of Financial Economics,10,407-432。  new window
19.Hanoch, G.、Levy, H.(1969)。Efficiency Analysis of Choices Involving Risk。Review of Economic Studies,36,335-346。  new window
20.Garcia, C. B.、Gould, F. J.(1987)。An Empirical Study of Portfolio Insurance。Financial Analysts Journal,43(4),44-54。  new window
21.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
22.Nelson, D. B.(1991)。Conditional Heteroscedasticity in Asset Returns: A New Approach。Econometrica,59,347-370。  new window
23.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
24.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
25.Ding, Zhuanxin、Granger, Clive W. J.、Engle, Robert F.(1993)。A long memory property of stock market returns and a new model。Journal of Empirical Finance,1(1),83-106。  new window
26.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
圖書
1.Efron, B.(1982)。The Jackknife, the Bootstrap, and Other Resampling Plans。Philadelphia:Society for Industrial and Applied Mathematics。  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
圖書論文
1.Brooks, R.、Levy, H.(1993)。Portfolio Insurance: Does It Pay?。Advances in Futures and Options Research。  new window
 
 
 
 
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