Reference: | 1. 李存修,“投資組合保險之理論基礎",國立台灣大學管理學院Working paper , No. 8901 ,民國七十七年。
2. 林筠,“投資組合保險之策略與績效"台北市銀月刊,第二十二卷,第五期,頁2-10 。
3. 金國隆,“投資組合保險理論與實證研究",台灣大學商學研究所未出版碩士論文,民國七十九年六月。
4. 楊素惠, “投資組合保險策略之執行績效研究",台灣大學商學研究所未出版碩士論文,民國七十九年六月。
5. Benninga, S., and M. Blume, "On the Optimality of Portfolio Insurance, " Journal of Finance,Dec. 1985, Pp. 1341-1352 。
6. Bierman, Harold, Jr., "Defining and Evaluating Portfolio Insurance Strategies", Financial Analysts Journal, MAY/ JUNE, 1988, pp.85-87。
7. Black, F., and R. Jones, "Simplifying Portfolio Insurance, " Journal of Portfolio Management.Fall 1987, PP. 48-51。
8. Black, F. and M. Scholes, "The Pricing of Options and Corporate Liabilities, " Journal of Political Economy. 81, 1973, Pp. 637-659。
9. Black, F., and R. Jones, "Simplifying Portfolio Insurance for Corporate Pension Plans, "Journal of Portfoljo Management. Summer 1988, pp. 33-37。
10. Clarke, R.G., and R. D. Arnott, "The Cost of Portfolio Insurance: Tradeoffs and Choices, "Financial Analysts Journal. NOV/ DEC 1987, pp.35-47。
11. Cox, J. C. and M. Rubinstein, Options Markets.Prentice-Hall, Inc., Englewood Cliffs, New Jersey, 1985。
12. Duffie, Darrel., Futures Markets. Prentice-Hall,Inc., Englewood Cliff, New Jersey, 1989, Ch 8。
13. Fabozzi, Frank J., and Pollack, Irving M., The Handbook of Fixed Income Securitjes. Dow JonesIrwin,Homewood, Illinois, 1987, chap 44。
14. Fabozzi, Frank J., The Handbook of Fixed-Income Options, Probus Publishing Company, Chicago,Illinois, 1989, Chap 120
15. Friend, Irwin, and Blume, Marshall E., "The Demand for Risky Assets", The American Economic Review, Dec. 1975, pp. 901~922。
16. Hill, J. M., and F. J. Jones, "Equity Trading,Program Trading, Portfolio Insurance, Computer Trading and all That, " Financial Analysts Journal. July/ Aug. 1988, pp. 29-38 。
17. Ingersoll, Jonathan E., Jr., Theory of Financial Decision Making, Rowman & Littlefield, 1987,chap.4 。
18. Kritzman, M., "What`s Wrong with Portfolie Insurance", Journal of Portfolio Management,Fall 1986, pp. 13-16。
19. Leland, H. E., " Option Pricing and Replication with Transactions Costs", Journal of Fnance 40,Dec 1985, pp. 1283-1301。
20. Leland, H. E., "Who Should Buy Portfolio Insurance, " Journal of Finance, May 1980,PP. 581-596 。
21. Merton, Robert C., "Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case. "Review of Economics and Statistics 51, 1969, pp. 247-257。
22. Perold, A. F., and W. F. Sharp, "Dynamic Strategies for Asset Allocation", Financial Analysts Journal, Jan/Feb, 1988, pp. 16-27 。
23. Pozen, R. C. , "The Purchase of Protective Puts By Financial Institutions", Financial Analysts Journal, July/ Aug, 1978, pp. 47-60 。
24. Rendleman, R. J., Jr., and McEnally, R. W.,"Assessing the Costs of Portfolio Insurance" ,Financial Analysts Journal. MAY/ JUNE, 1987,pp. 27-37 。
25. Ritchken, P., Options: Theory. Strategy, and Applications, Scott, Foresman and Company, 187。
26. Rubinstein, M., and H. Leland, "Replicating Options with Positions in Stocks and Cash",Financial Analysts Journal. July/ Aug, 1981,pp. 63-72。
27. Rubinstein, M., "Alternative Paths To Portfolio Insurance", Financial Analysts Journal, Juiy/Aug. 1985" Pp. 42-52 。
28. Sharpe, Wiliam F., "Asset Allocation." Printed in Maginn and Tuttle: Managing Investment Portfoljos-A Dynamic Process, 1990, Chap 7。
29. Stoll, H. R., "The Relationship Between Put and Call Option Price",Journal of Finance, 24, Dec 1969, pp. 802-824。
30. Treynor, Jack. L., "Portfolio Insurance and Market Volatility", Financial Analysts Journal,NOV/ DEC, 1988, pp. 71-73 。 |