- College of Commerce
- Department of Risk Management and Insurance
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- Item 140.119/133651
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https://ah.nccu.edu.tw/handle/140.119/133651
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| Title: | A Study of the Differences among Representative Investment Strategies |
| Authors: | 黃泓智 Hong-ChihHuang 李永琮 Yung-TsungLee |
| 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 link: | https://doi.org/10.1016/j.iref.2020.03.007 |
| Appears in Collections: | [Department of Risk Management and Insurance] Periodical Articles |
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