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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Main Authors:	Ciao-Jhih Wei, 魏僑志
Other Authors:	Wen-Wu Chang
Format:	Others
Language:	zh-TW
Published:	2007
Online Access:	http://ndltd.ncl.edu.tw/handle/98307845991813069509

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spelling	ndltd-TW-095AU0007440122015-10-13T16:41:21Z http://ndltd.ncl.edu.tw/handle/98307845991813069509 AssetAsset Allocation with Regime-Switch:The Case of Foreign Curencies 狀態變遷下的資產配置模型-以外匯資產為例 Ciao-Jhih Wei 魏僑志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. Wen-Wu Chang 張文武 2007 學位論文 ; thesis 37 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	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.
author2	Wen-Wu Chang
author_facet	Wen-Wu Chang Ciao-Jhih Wei 魏僑志
author	Ciao-Jhih Wei 魏僑志
spellingShingle	Ciao-Jhih Wei 魏僑志 AssetAsset Allocation with Regime-Switch:The Case of Foreign Curencies
author_sort	Ciao-Jhih Wei
title	AssetAsset Allocation with Regime-Switch:The Case of Foreign Curencies
title_short	AssetAsset Allocation with Regime-Switch:The Case of Foreign Curencies
title_full	AssetAsset Allocation with Regime-Switch:The Case of Foreign Curencies
title_fullStr	AssetAsset Allocation with Regime-Switch:The Case of Foreign Curencies
title_full_unstemmed	AssetAsset Allocation with Regime-Switch:The Case of Foreign Curencies
title_sort	assetasset allocation with regime-switch:the case of foreign curencies
publishDate	2007
url	http://ndltd.ncl.edu.tw/handle/98307845991813069509
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AssetAsset Allocation with Regime-Switch:The Case of Foreign Curencies

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