Portfolio Selection under Time-Varying Volatility Risk with Taiwan Equity Market
碩士 === 國立臺灣大學 === 工業工程學研究所 === 96 === This thesis is aimed to construct a comprehensive model of portfolio selection under time-varying volatility. The model contains two modules. Module 1 consists of three simplified multivariate GARCH models namely Constant Correlation GARCH model, Orthogonal GARC...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91413478513590976696 |