JER, 第 11 卷Hanyang Economic Research Institute in collaboration with Hanyang University College of Business and Economics, 2006 |
搜尋書籍內容
第 1 到 3 筆結果,共 50 筆
第 11 頁
... Mean - Varinace Model in Portfolio Selection In the previous section , we have shown that mean - variance approx- imations may provide poor performance in ranking random returns . However , it does not necessarily mean that the mean ...
... Mean - Varinace Model in Portfolio Selection In the previous section , we have shown that mean - variance approx- imations may provide poor performance in ranking random returns . However , it does not necessarily mean that the mean ...
第 12 頁
... means and standard deviations of individual net re- turns are 0.31 % and 10.45 % , respectively . As shown in Table 2 , the per- formance of the mean - variance - based portfolio selection for the power and exponential utility functions ...
... means and standard deviations of individual net re- turns are 0.31 % and 10.45 % , respectively . As shown in Table 2 , the per- formance of the mean - variance - based portfolio selection for the power and exponential utility functions ...
第 14 頁
... mean - variance model for the s - shaped utility function of prospect theory does not perform well in optimum portfolio selections . 5 Conclusion The mean - variance analysis and ultimately the capital asset pric- ing model ( CAPM ) ...
... mean - variance model for the s - shaped utility function of prospect theory does not perform well in optimum portfolio selections . 5 Conclusion The mean - variance analysis and ultimately the capital asset pric- ing model ( CAPM ) ...
其他版本 - 查看全部
常見字詞
analysis asset risks assume assumption capacity utilization capital stock cash flows cointegrated correlation cost currency composition currency hedge debt debt-asset ratio depreciation derivatives econometric effect EIA experts empirical environmental accidents equation equilibrium expected exponential utility firm's foreign financial assets foreign firm futures market futures prices G(st Hanyang University home and foreign home firm home government i'th currency impulse response incentive increase industry interest rate swaps investment Korea Kt+1 lagged learning-by-doing linear lobbying activity LSTAR model marginal measures non-users null hypothesis optimal subsidy output shock parameters period-1 portfolio precommit predictability price-dividend ratio probability of default production profits prospect theory Real Business Cycle regime regression relative Response of STOCK risk aversion risk exposures risk management second period significant spillover spot price standard deviation statistic stock prices stock returns strategic swap users Table Teräsvirta tion trade transition function utility function volatility