| Reference: | 1.李振婷(2015)。最小變異數投資組合在台灣股市之運用。未出版之碩士論文，國立政治大學，國際經營與貿易研究所系所。
2.林暐龍(2014)。基本價值加權法投資策略之應用台灣市場實證。未出版之碩士論文，國立政治大學，國際經營與貿易研究所系所。
3.許晉雄，(2010)。利用線性規劃法求解多期資產配置最佳化模式，計量管理期刊，第七卷第二期，第1-12頁。
4.張學勇，(2014)。學術通訊，中央財經大學金融學院金融學術研究會，第1期，第3-10頁。
5.郭維裕、徐政義，(2015)。淺談股價指數之編製理論與績效評估，臺灣證券交易所，第 647期，第54-65頁。
6.顏佑銘，(2015)。資產數目過大時，投資人該如何建構投資組合策略，政大商業評論，第2015期。
7.Caporin, Pelizzon, (2012). Market volatility, optimal portfolios and naïve asset allocations, 411-426.
8.C Yan, Zhang, (2016). Mean-variance versus naïve diversification: The role of mispricing. Journal of International Financial Markets, Institutions and Money, 1-21.
9.DeMiguel, (2007). Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy, The Society for Financial Studies, 1915-1953.
10.DeMiguel, Garlappi, Nogales, Uppal, (2009). A Generalized approach to portfolio optimization: Improving performance by constraining portfolio norms. Management Science, 798-812.
11.Jacobsn, Müller, Weber, (2013). How should individual investors diversify? An empirical evaluation of alternative asset allocation policies. Journal of Financial Markets, 62-85.
12.Maillet, Tokpavi, Vaucher, (2015). Global minimum variance portfolio optimization under some model risk: A robust regression-based approach. European Journal of Operational Research, 289-299.
13.Yen, (2015). Sparse Weighted-Norm Minimum Variance Portfolios, Review of Finance, 1-29.
14.Zakamulin, (2016). Superiority of optimized portfolios to naive diversification: Fact or fiction? Finance Research Letters, 1-7. |
