摘要
This study presents an example of the linearization of a complex mean-risk investment problem. The spectral risk measure is employed as a measure of risk and assets are assumed to have autocorrelation and conditionally heteroskedastic volatilities. Simulation results indicate that the proposed method saves a great deal of computational time. Empirical studies show that this strategy, implemented with certain trading frequency constraints, outperforms the equal-weighted portfolio, the classical mean-variance method, and the corresponding market index in Taiwan, the US, and Japan when considering transaction costs and different economic conditions.
原文 | ???core.languages.en_GB??? |
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頁(從 - 到) | 449-469 |
頁數 | 21 |
期刊 | Asia-Pacific Journal of Financial Studies |
卷 | 47 |
發行號 | 3 |
DOIs | |
出版狀態 | 已出版 - 6月 2018 |