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題名 Estimation Risk and Optimal Portfolio Construction in a Lognormal Market
其他題名 對數常態證券市場下考慮估計風險後的最適投資組合建構
作者 湯美玲 ; 陳松男 ; 江彌修
Tang,Mei-Ling ; Chen,Son-Nan ; Chiang,Mi-Hsiu
貢獻者 金融系
關鍵詞 最適投資組合建構 ; 對數常態資本市場 ; 估計風險 ; 漸進方法
Optimal portfolio construction ; Lognormal-securities market ; Estimation risk ; Asymptotic property
日期 2012-06
上傳時間 13-十二月-2013 15:03:34 (UTC+8)
摘要 As being in a lognormal-securities market, this study develops a simple rule in constructing optimal portfolios with regard to the situation that the probability distribution of portfolio returns does not have finite moments. By means of asymptotic properties when short sales are not allowed, the simple rule incorporating estimation risk can be derived accordingly. Our numerical example specifies optimal portfolios with estimation risk are not equivalent to those without estimation risk considered. In addition, portfolios constructed based on the simple rule are examined to present a better out-of-sample investment performance relative to its counterparty and a naive benchmark. Key words: Optimal portfolio construction, lognormal-securities market, estimation risk, asymptotic property
關聯 Journal of Financial Studies, 20(2), 19-53
財務金融學刊, 20(2), 19-53
資料類型 article
DOI http://dx.doi.org/10.6545/JFS.2012.20(2).2
dc.contributor 金融系en_US
dc.creator (作者) 湯美玲 ; 陳松男 ; 江彌修zh_TW
dc.creator (作者) Tang,Mei-Ling ; Chen,Son-Nan ; Chiang,Mi-Hsiuen_US
dc.date (日期) 2012-06en_US
dc.date.accessioned 13-十二月-2013 15:03:34 (UTC+8)-
dc.date.available 13-十二月-2013 15:03:34 (UTC+8)-
dc.date.issued (上傳時間) 13-十二月-2013 15:03:34 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/62458-
dc.description.abstract (摘要) As being in a lognormal-securities market, this study develops a simple rule in constructing optimal portfolios with regard to the situation that the probability distribution of portfolio returns does not have finite moments. By means of asymptotic properties when short sales are not allowed, the simple rule incorporating estimation risk can be derived accordingly. Our numerical example specifies optimal portfolios with estimation risk are not equivalent to those without estimation risk considered. In addition, portfolios constructed based on the simple rule are examined to present a better out-of-sample investment performance relative to its counterparty and a naive benchmark. Key words: Optimal portfolio construction, lognormal-securities market, estimation risk, asymptotic property-
dc.format.extent 195 bytes-
dc.format.mimetype text/html-
dc.language.iso en_US-
dc.relation (關聯) Journal of Financial Studies, 20(2), 19-53en_US
dc.relation (關聯) 財務金融學刊, 20(2), 19-53en_US
dc.subject (關鍵詞) 最適投資組合建構 ; 對數常態資本市場 ; 估計風險 ; 漸進方法en_US
dc.subject (關鍵詞) Optimal portfolio construction ; Lognormal-securities market ; Estimation risk ; Asymptotic property-
dc.title (題名) Estimation Risk and Optimal Portfolio Construction in a Lognormal Marketen_US
dc.title.alternative (其他題名) 對數常態證券市場下考慮估計風險後的最適投資組合建構en_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.6545/JFS.2012.20(2).2en_US
dc.doi.uri (DOI) http://dx.doi.org/10.6545/JFS.2012.20(2).2en_US