Conditional Value-at-Risk for Portfolio Construction
碩士 === 雲林科技大學 === 財務金融系碩士班 === 99 === This study focuses on the performance of portfolio constructions among the constituent stocks of Taiwan 50 Index. Mean-CVaR model, James-Stein model, Minimum-Variance model, and Mean-Variance model are employed and examined on Taiwan 50 Index during the period o...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/90443499442701443364 |