Risk Exposure of Trend-Following Strategy to Long Equity Volatility
碩士 === 國立中興大學 === 財務金融系所 === 101 === Trend-following strategies have been thought as long equity volatility strategies because they have better performance when economy is in extreme states and less well when economy is in normal states. Fung and Hsieh (2001) showed that PTFS factors have better exp...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/u4dskc |