VaR夏普法則的應用限制性
碩士 === 國立臺灣大學 === 國際企業學研究所 === 89 === VaR Sharpe Ratio is first proposed by Dowd (1999). He replaces the standard deviation inside the original Sharpe Ratio by VaR. He also applies this kind of Sharpe Ratio on portfolio management. When the returns of assets is normal distribution, VaR Sharpe Ratio...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2001
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| Online Access: | http://ndltd.ncl.edu.tw/handle/66681979011160357380 |