Optimal portfolio allocation under Multi-tail elliptical distribution
碩士 === 國立清華大學 === 統計學研究所 === 99 === Recent studies show that the decreasing rate of tail varies from different asset returns. Multi tail elliptical distribution can describe this phenomenon through tail function. In this thesis, we discuss the optimal portfolio problem for the multi tail elliptical...
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| Format: | Others |
| Language: | zh-TW |
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2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/57010249115455411038 |