AssetAsset Allocation with Regime-Switch:The Case of Foreign Curencies
碩士 === 真理大學 === 財經研究所 === 95 === This paper attempts to find out a optimal portfolio with minimal risk by using Markowitz’s(1959) Asset Allocation Model. In order to increase performance of portfolio, using the Markov Regime-Switch model was used to forecast expected return and variance of next peri...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/98307845991813069509 |