The Application of Multivariate Alpha Lévy Processes in Portfolio Performance Analysis
碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 99 === Portfolio selection proposed by Markowitz (1952) is one of the most important issues in finance. Many researchers propose numerous extensions, but few researches consider the impacts of idiosyncratic jump and co-jump shocks on optimal portfolio selection....
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| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ukv6fc |