Zobrazeno 1 - 10
of 18
pro vyhledávání: '"enhanced index fund"'
Publikováno v:
فصلنامه بورس اوراق بهادار, Vol 13, Iss 49, Pp 47-72 (2020)
One of the main concerns of modeling is the adaptation of the mathematical model to reality, and in the real world of uncertainty one of the decisive cases ignored in the classical mathematical programming of these uncertainties. robust optimization
Externí odkaz:
https://doaj.org/article/a4c32686a77947daa5a4acc1211f8234
Autor:
Eckhard Platen, Truc Le
Publikováno v:
The Journal of Risk Finance. 7:559-574
PurposeThis paper aims to construct and compare various total‐return world stock indices based on daily data.Design/methodology/approachBecause of diversification, these indices are noticeably similar. A diversification theorem identifies any diver
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f26387ffdb98d3da18a7d6c321fdced7
https://doi.org/10.1108/15265940610716115
https://doi.org/10.1108/15265940610716115
Autor:
Chen, Ting-Hsuan
This study constructs a quantitative stock selection model across multiple sectors with the application of the Bayesian method. It employees factors from the Taiwan stock market which could explain stock returns. Under this structure, each sector tha
Autor:
Lu, Shih-han
In Taiwan, the trading value of electronics related stocks makes up over 60% of Taiwan stock market and has grown gradually to the recent high of 70.03% in Dec. 2009. The high correlation between the TAIEX and TAIEX Electronic Index raises our intere
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Autor:
Hsu, Yu-hsiang
The objective of this study is to build a complete process of quantitative stockselection model construction that combines a Multi-Factor Model and informationanalysis. Based on the quantitative stock selection model, we construct anenhanced index fu
Autor:
Lee, Cheng-ju
In recent years, the economic exchanges between China and Taiwan have become more frequent, hence the Chinese financial market is the main target that we should research and participate in actively. This study refers to Barra Multi-Factor Modeling pr
Autor:
Chen, Wei-chih
Many enhanced index funds are based on a quantitative model to control active risk and to acquire active return. In this thesis we first construct a multiple-factor model (MFM) and then use statistical methods to evaluate the significance and stabili
Autor:
Wang, Wei-Cheng
"Enhanced index fund" is an investment strategy, combining active and passive management elements, for index tracking and return enhancing through disciplined market timing, stock selection and leverage activities. Though enhanced index funds have be
Autor:
Yu, Tzu-Ying
We construct the multi-factor model using fundamental cross-sectional approach in the thesis. We adopt the principal of BARRA¡¦E3 for constructing our multi-factor model. In our study period, we finally obtain 34 significant explanatory factors inc