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https://ah.lib.nccu.edu.tw/handle/140.119/133651
題名: | A Study of the Differences among Representative Investment Strategies | 作者: | 黃泓智 Hong-ChihHuang 李永琮 Yung-TsungLee |
貢獻者: | 風管系 | 關鍵詞: | Investment strategy;Anticipative model;Adaptive model;Static approach;Dynamic approach | 日期: | 七月-2020 | 上傳時間: | 21-一月-2021 | 摘要: | 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 | 關聯: | International Review of Economics and Finance, 68, 131-149 | 資料類型: | article | DOI: | https://doi.org/10.1016/j.iref.2020.03.007 |
Appears in Collections: | 期刊論文 |
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