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碩士 === 國立中央大學 === 統計研究所 === 94 === Mean-Variance portfolio optimization is the most commonly applied method to find the portfolio weight for risky assets. The interest rate is assumed to be a constant in the framework. We derive the optimal portfolio weight by Hamilton-Jacobi-Bellman (HJB) equation...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ev4ypc |