Please use this identifier to cite or link to this item:

Title: A Study of the Differences among Representative Investment Strategies
Authors: 黃泓智
Contributors: 風管系
Keywords: Investment strategy;Anticipative model;Adaptive model;Static approach;Dynamic approach
Date: 2020-07
Issue Date: 2021-01-21 09:45:37 (UTC+8)
Abstract: This study compares the differences and efficiencies of investment strategies among anticipative and adaptive models using three representative decision approaches: the static approach (SA), semidynamic strategy (or re-assess by static approach, Re-SA), and dynamic programming (DP). We show that each approach has individual merits and weaknesses. A DP strategy may allow for relatively aggressive decisions because of opportunities to adapt the decisions later. However, that strategy may result in a serious downside risk. The suboptimal adaptive strategy, Re-SA, acts as a good proxy for the DP strategy. Therefore, both SA and Re-SA are important tools for addressing asset allocation problems
Relation: International Review of Economics and Finance, 68, 131-149
Data Type: article
DOI 連結:
Appears in Collections:[風險管理與保險學系 ] 期刊論文

Files in This Item:

File Description SizeFormat
80.pdf1087KbAdobe PDF43View/Open

All items in 學術集成 are protected by copyright, with all rights reserved.

社群 sharing