Tests by Stochastic Dominance on Portfolio Diversification
| Autor: | Ming-chien Hung, 洪銘謙 |
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| Rok vydání: | 2005 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 93 Taiwan combined fund chooses proper common fund and bond to be made for investing the subject matter, because assess and can disperse the investment risk effectively, is well received by common fund investor gradually in speciality. But because invests one country''s assets only, its unable effective scattering of national risk, so this research lies in combining domestic and international common fund and investment combinatorial theory mainly, the rate of returns is predicted in week to every fund, and estimate the variation matrix altogether between the funds per shelf, make use of decision this produce all proper weight, utilize the opportunity to insult and analyze and compare again, make it produce the goods which assess out a good combined fund within short time, a combined fund with good profitability that can vary with environment also and change. The stochastic dominance is studied, is the commonly used '' expected value for solve and weigh the relation of risk of the remuneration - Make a variation and count the rule '' restriction on the thing that utility function is stricter. Relatively, the random advantage rule limits utility function less, and the probability to the rate of returns is distributed and does not do any assumption. This text will assess studying to Taiwan and association fund which will join the foreign fund, and actually look at the result. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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