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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/88372
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/88372


    Title: 變異數估計對投資組合保險策略的績效影響評估
    Authors: 廖俊強
    Contributors: 徐燕山
    廖俊強
    Keywords: 變異數估計
    保險策略
    Date: 1995
    1994
    Issue Date: 2016-04-29 15:38:28 (UTC+8)
    Abstract:   本文分別以蒙地卡羅模擬分析與國內金融資料實證,秤估變異數估計對複製性賣權投資組合保險策略績效的影響。利用模擬分析之主要目的為:評估資金管理者執行投資組合保險策略時,變異數估計正確與否對保險策略績效的影響。而利用國內金融資料實證之主要目的為:比較三種估計變異數的方法,即移動平均法、極值法及異質條件變異數法,應用於投資組合保險策略上績效的差異。
    Description: 碩士
    國立政治大學
    財務管理研究所
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002003533
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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