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...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/98307845991813069509 |
| Summary: | 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 period to create an optimal portfolio. Than, we observe the
performance of foreign portfolio by four kinds of risk aversion. Finally, we want to understand the performance of different holding portfolio period when an investor has different risk aversion.
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