| Reference: | 許偉倫，2011。穩健型投資組合建構與回溯測試之探討。碩士論文。
盧泰源，2016。最適化Smart Beta 策略組合型基金之應用—以台灣股票市場之交易策略研究。碩士論文。
Abarbanell, J. S., &Bushee, B. J. (1998). Abnormal returns to a fundamental analysis strategy. Accounting Review, 19-45.
Artzner, P., F. Delbaen, J. Eber, and D. Health, (1999), Coherent measure of Risk. Mathematical Finance, Vol.2, pp.95-121.
Brianton, G. (1998). Portfolio optimization. Risk Management and Financial Derivatives: A Guide to the Mathematics, 1st edition, Palgrave (trade), 4, 39-44.
Brinson, G. P., Singer, B. D., &Beebower, G. L. (1991). Determinants of portfolio performance II: An update. Financial Analysts Journal, 40-48.
DeMiguel, V., & Nogales, F. J. (2009). Portfolio selection with robust estimation. Operations Research, 57(3), 560-577.
Graham, B., & Dodd, D. L. (1934). Security analysis: Principles and technique. McGraw-Hill.
Grubel, H. G. (1968). Internationally diversified portfolios: welfare gains and capital flows. The American Economic Review, 58(5), 1299-1314.
Ledoit, O., & Wolf, M. (2003). Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of empirical finance, 10(5), 603-621.
Lev, B., &Thiagarajan, S. R. (1993). Fundamental information analysis. Journal of Accounting research, 190-215.
Li, D., & Ng, W. L. (2000). Optimal dynamic portfolio selection: Multiperiod mean‐variance formulation. Mathematical Finance, 10(3), 387-406.
Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.
Ou, J. A., & Penman, S. H. (1989). Financial statement analysis and the prediction of stock returns. Journal of accounting and economics, 11(4), 295-329.
Pflug, G. C. (2000). Some remarks on the value-at-risk and the conditional value-at-risk. In Probabilistic constrained optimization (pp. 272-281). Springer US.
Rockafellar, R. &Uryasev, S. (2000). Optimization of conditional value-at-risk. The Journal of Risk, 2(3), 21–41.
Rousseeuw, P. J. (1985). Multivariate estimation with high breakdown point. Mathematical statistics and applications, 8, 283-297.
Rousseeuw, P. & Van Driessen, K. (1999). A fast algorithm for the minimumcovariance determinant estimator. Technometrics, 41, 212–223.
Rousseeuw, P., Croux, C., Todorov, V., Ruckstuhl, A., Salibian-Barrera, M., Verbeke, T., & Maechler, M. (2008). The robustbase package: Basic Robust Statistics. cran.r-project.org.
Schaefer, J., Opgen-Rhein, R., & Strimmer, K. (2008). The corpcor package:Efficient Estimation of Covariance and (Partial) Correlation. cran.r-project.org.
Sloan, R. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting review, 71(3), 289-315.
Venables, W. N. & Ripley, B. D. (2008). The MASS Package. cran.r-project.org. |
