A study of using optimal orthogonal portfolio approach to evaluate the importance of risk factors on CAPM
碩士 === 國立臺北大學 === 企業管理學系 === 94 === The study try to combine maximum Sharpe ratio and residual covariance matrix ( ) to get new risk factors. We also use Metropolis approach of Monte Carlo simulated annealing to compute estimators of econometric models. Then we apply Moving Window to simulate portfo...
| 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/64784434409921751849 |