A Real-time Procedure to Update Portfolio Allocations

Thesis

A Real-time Procedure to Update Portfolio Allocations

Yang, Hao-Hsiang

Masters, 國立清華大學, 計量財務金融學系

2017

Abstract

投資組合報酬預測

加總資料

緩長記憶

結構轉換

分散風險

Portfolio Forecast

Aggregated Time Series

Long Memory

Structural Break

Risk Reduction

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Title: A Real-time Procedure to Update Portfolio Allocations
Translated title: A Real-time Procedure to Update Portfolio Allocations
Creators: Yang, Hao-Hsiang
Contributors: Wang, Shih-Huei (Advisor)
Awarding Institution: 國立清華大學, 計量財務金融學系; Masters
Theses and Dissertations: Masters, 國立清華大學, 計量財務金融學系
Language: English
Resource Type: Thesis
Date published: 2018