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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/61541


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    題名: The Portfolio Strategy and Hedging: a Spectrum Perspective on Mean-Variance Theory
    作者: 廖四郎
    Hsua, Pao-Peng;Liao,Szu-Lang
    貢獻者: 金融系
    關鍵詞: Spectrum;Lead–lag relationship;Portfolio strategy
    日期: 2012.04
    上傳時間: 2013-11-11 09:34:36 (UTC+8)
    摘要: This paper aims to establish a portfolio strategy using information of lead–lag relationship. The efficient frontier in mean–variance theory has confirmed that the spectrum strategy established by the lead–lag relationship yields superior performance assuming the same volatility. And then we construct the spectrum portfolios based on two approaches: a recursive approach, which uses a recursive method in the lead–lag relationship, and a joint approach, which combines two lead–lag relationships. The effect of the spectrum strategy using mutual fund data from 1999 through 2009 is examined. The results indicate that the spectrum portfolio has a superior performance as compared to the benchmark with both approaches. Furthermore, the spectrum portfolio by recursive approach maintains superior performance in hedging.
    關聯: International Review of Economics and Finance, 22(1) , 129-140
    資料類型: article
    DOI 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.iref.2011.09.001
    DOI: 10.1016/j.iref.2011.09.001
    顯示於類別:[金融學系] 期刊論文

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