The Effect of Risk Aversion and Holding Period on VaR - An Empirical Study in Taiwan Weighted Stock Index and Sub-index
碩士 === 中原大學 === 國際貿易研究所 === 97 === In evaluating value at risk (VaR) the confidence level, holding-day of portfolio and portfolio scale all play important role. This study employs different methods to estimate the VaR by considering different asset holding days and risk attitude. This study attempts...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/20862278628696049822 |