Discussion of robust portfolio construction and backtest analysis
碩士 === 國立臺北商業技術學院 === 商學研究所 === 99 === The traditional portfolio is based on Mean-Variance Model (MV Model) which is built by Markowitz (1952). Moreover, Rockafellar and Uryasev (2000) think that Conditional Value at Risk (CVaR) can be used to estimate portfolio’s value at risk due to lower risk whi...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/01772857681607206286 |