Portfolio Optimization Under Conditional Value at Risk and Tail isk: Based on Two-Stage Stochastic Linear Programming Model
碩士 === 中原大學 === 工業與系統工程研究所 === 97 === In response to the high degree uncertainty of financial market, how to estimate the potential loss of portfolio is the most important topic concerned by investors when they are pursuing the maximum of reward. Due to the return rate and risk of asset in stock...
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| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61408191884791332618 |