政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/133651

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113318/144297 (79%)
Visitors : 51023944 Online Users : 863

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/133651

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/133651

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
DOI:	10.1016/j.iref.2020.03.007
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

Files in This Item:

File	Description	Size	Format
80.pdf		1087Kb	Adobe PDF2	216	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...