Riskiness-minimizing Portfolio Selection Using Single Index Model
碩士 === 東吳大學 === 經濟學系 === 107 === The main purpose of this paper is to determine the optimal portfolio by minimizing Aumann and Serrano (2008)’s Riskiness of the portfolio given an abnormal return or systematic risk of the portfolio, where the returns of assets in the portfolio are estimated by using...
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| Format: | Others |
| Language: | en_US |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/rxjs3n |