The Application of Performance Estimation by Value at Risk in Bond Fund
碩士 === 國立中正大學 === 企業管理所 === 94 === This article proposes the Value at Risk to replace the standard deviation and adds the benchmark of relative risk to improve the Sharpe Ratio’s bias and to enhance the sensitivity when the returnis non-normality.From Sharpe index, we substitute traditional risk mea...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/77722789634591248933 |