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 LÝ THUYẾT DANH MỤC ĐẦU TƯ HIỆN ĐẠI

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Kentada



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Bài gửiTiêu đề: LÝ THUYẾT DANH MỤC ĐẦU TƯ HIỆN ĐẠI   Tue Aug 28, 2012 10:24 pm

LÝ THUYẾT DANH MỤC ĐẦU TƯ HIỆN ĐẠI



  1. “Modern portfolio theory, 1950 to date”, Journal of Banking & Finance 21 (1997) 1743-1759
  2. “Portfolio
    selection using hierarchical Bayesian analysis and MCMC methods”,
    Journal of Banking & Finance 30 (2006) 669–678.
  3. “Master funds in portfolio analysis with general deviation measures”, Journal of Banking & Finance 30 (2006) 743–778
  4. “Optimal
    portfolio selection under institutional procedures for short selling”,
    Journal of Banking & Finance 19 (1995) 871-889
  5. “On the optimal selection of portfolios under limited diversifcation”, Journal of Banking & Finance 23 (1999) 1655-1666
  6. “Mean–variance
    portfolio selection with ‘at-risk’ constraints and discrete
    distributions”, Journal of Banking & Finance 31 (2007) 3761–3781
  7. “Portfolio
    selection under institutional procedures for short selling: Normative
    and market-equilibrium considerations”, Journal of Banking &
    Finance 21 (1997) 369-391
  8. “Portfolio
    selection and skewness" Evidence from intemational stock markets”,
    Journal of Banking & Finance 21 (1997) 143-167
  9. “Performance
    evaluation of portfolio insurance strategies using stochastic
    dominance criteria”, Journal of Banking & Finance 33 (2009) 272–280
  10. “Portfolio
    performance evaluation with generalized Sharpe ratios: Beyond the mean
    and variance”, Journal of Banking & Finance 33 (2009) 1242–1254
  11. “Utilitarianism and fairness in portfolio positioning”, Journal of Banking & Finance 32 (2008) 1648–1660
  12. “Noise sensitivity of portfolio selection under various risk measures”, Journal of Banking & Finance 31 (2007) 1545–1573
  13. “Two-sided
    coherent risk measures and their application in realistic portfolio
    optimization”, Journal of Banking & Finance 32 (2008) 2667–2673
  14. “Reward–risk portfolio selection and stochastic dominance”, Journal of Banking & Finance 29 (2005) 895–926
  15. “Family
    groupings on performance of portfolio selection in the Hong Kong stock
    market”, Journal of Banking and Finance 18 (1994) 725-742
  16. “Family
    groupings on performance of portfolio selection in the Hong Kong stock
    market”, Journal of Banking and Finance 18 (1994) 725-742
  17. “A
    dynamic model of active portfolio management with benchmark
    orientation”, Journal of Banking & Finance 31 (2007) 3336–3356
  18. “Risk
    averse bank managers: Exogenous shocks, portfolio reallocations and
    market spillovers”, Journal of Banking & Finance 22 (1998) 161-174
  19. “Risk factor contributions in portfolio credit risk models”, Journal of Banking & Finance 34 (2010) 336–349
  20. “Portfolio optimization with stochastic dominance constraints”, Journal of Banking & Finance 30 (2006) 433–451
  21. “A model for tax advantages of portfolios with many assets”, Journal of Banking & Finance 31 (2007) 3269–3290
  22. “A model for tax advantages of portfolios with many assets”, Journal of Banking & Finance 31 (2007) 3269–3290
  23. “A note on market-neutral portfolio selection”, Journal of Banking & Finance 23 (1999) 773-799
  24. “Selecting
    a portfolio with skewness: Recent evidence from US, European, and
    Latin American equity markets”, Journal of Banking & Finance 27
    (2003) 1375–1390
  25. “When can you immunize a bond portfolio?”, Journal of Banking & Finance 22 (1998) 1571-1595
  26. “Spectral risk measures and portfolio selection”, Journal of Banking & Finance 32 (2008) 1870–1882
  27. “Currency
    hedging for international stock portfolios: The usefulness of
    mean–variance analysis”, Journal of Banking & Finance 27 (2003)
    327–349
  28. “The delegated portfolio management problem: Reputation and herding”, Journal of Banking & Finance 33 (2009) 2062–2069
  29. “APPLYING PORTFOLIO THEORY TO GLOBAL BANK LENDING”, Journal of Banking and Finance 8 (1984) 153-169.
  30. “A
    credit risk model for large dimensional portfolios with application to
    economic capital”, Journal of Banking & Finance 30 (2006)
    2163–2197
  31. “Optimal portfolio selection in a value-at-risk framwork”, Journal of Banking & Finance 25 (2001) 1789-1804
  32. “THE EFFECT OF MORTGAGE FORM ON BORROWER INTEREST RATE RISK”, Journal of Banking and Finance 3 (1979) 187-200
  33. “THE
    EFFECT OF MORTGAGE FORM ON BORROWER INTEREST RATE RISK: A Portfolio
    Theory Approach”, Journal of Banking and Finance 3 (1979) 187-200.
  34. “Tail
    estimation and mean–VaR portfolio selection in markets subject to
    financial instability”, Journal of Banking & Finance 26 (2002)
    1355–1382
  35. “BANK
    PORTFOLIO CHOICE WITH PRIVATE INFORMATION ABOUT LOAN QUALITY: Theory
    and Implications for Regulation”, Journal of Banking and Finance 11
    (1987) 473-497.
  36. “BANK
    PORTFOLIO CHOICE WITH PRIVATE INFORMATION ABOUT LOAN QUALITY: Theory
    and Implications for Regulation”, Journal of Banking and Finance 11
    (1987) 473-497.
  37. “Evaluation
    of linear asset pricing models by implied portfolio performance”,
    Journal of Banking & Finance 33 (2009) 1586–1596
  38. “Generalized
    DEA model of fundamental analysis and its application to portfolio
    optimization”, Journal of Banking & Finance 31 (2007) 3311–3335
  39. “What
    determines the composition of banks’ loan portfolios? Evidence from
    transition countries”, Journal of Banking & Finance 34 (2010)
    388–398
  40. “Portfolio selection with a drawdown constraint”, Journal of Banking & Finance 30 (2006) 3171–3189
  41. “PORTFOLIO THEORY IS FOR RISK LOVERS”, Journal of Banking and Finance 2 (1978) 179-181
  42. Book reviews
  43. “Value at risk models for Dutch bond portfolios”, Journal of Banking & Finance 24 (2000) 1131-1154
  44. “Dynamic portfolio selection with process control”, Journal of Banking & Finance 30 (2006) 317–339
  45. “Implied volatility and future portfolio returns”, Journal of Banking & Finance 31 (2007) 3183–3199
  46. “Do constraints improve portfolio performance?”, Journal of Banking & Finance 24 (2000) 1253-1274
  47. “Optimal delegated portfolio management with background risk”, Journal of Banking & Finance 32 (2008) 977–985
  48. “New
    strategies and a new paradigm for Shariah-compliant portfolio
    optimization”, Journal of Banking & Finance 33 (2009) 1166–1176
  49. “New
    strategies and a new paradigm for Shariah-compliant portfolio
    optimization”, Journal of Banking & Finance 33 (2009) 1166–1176
  50. “VaR
    and expected shortfall in portfolios of dependent credit risks:
    Conceptual and practical insights”, Journal of Banking & Finance 26
    (2002) 1317–1334
  51. “Ratings
    migration and the business cycle, with application to credit portfolio
    stress Testing”, Journal of Banking & Finance 26 (2002) 445–474
  52. “Time-consistency
    in managing a commodity portfolio: A dynamic risk measure approach”,
    Journal of Banking & Finance 32 (2008) 1991–2005
  53. “A
    note on the performance of foreign exchange forecasters in a portfolio
    framework”, Journal of Banking & Finance 20 (1996) 605-613
  54. “Regulation
    of the Warsaw Stock Exchange: The portfolio allocation problem”,
    Journal of Banking & Finance 24 (2000) 555-576
  55. “SEARCH FOR INFORMATION AND PORTFOLIO SELECTION”, Journal of Banking and Finance 2 (1978) 163-177
  56. “GENERALIZED
    SEPARATION OF THE PORTFOLIO DECISION PROCESS UNDER UNCERTAIN INFLATION
    AND ASSET PRICING IMPLICATIONS”, Journal of Banking and Finance 6
    (1982) 263-275.
  57. “INTEREST RATES AND BANK PORTFOLIO ADJUSTMENTS”, Journal of Banking and Finance 13 (1989) 151-161.
  58. “Portfolio performance measurement using APM-free kernel models”, Journal of Banking & Finance 29 (2005) 623–659
  59. “OPTIMUM CONSUMPTION AND PORTFOLIO RULES WITH MONEY AS AN ASSET”, Journal of Banking and Finance 7 (1983) 231-252.
  60. “PORTFOLIO
    SEPARATION FOR STOCKHOLDER OWNED DEPOSITORY FINANCIAL INTERMEDIARIES”,
    Journal of Banking and Finance 9 (1985) 477-490
  61. “Durations for portfolios of bonds priced on different term structures”, Journal of Banking and Finance 16 (1992) 705-714
  62. “A RELAXATION ALGORITHM FOR BUILDING UNDOMINATED PORTFOLIOS”, Journal of Banking and Finance 1 (1977) 143-150
  63. “The mean-variance efficiency of benchmark portfolios: UK evidence”, Journal of Banking and Finance 18 (1994) 673-685
  64. “THE BRITISH INVESTOR'S GAINS FROM INTERNATIONAL PORTFOLIO INVESTMENT”, Journal of Banking and Finance 5 (1981) 155-165
  65. “COMMERCIAL BANK ASSET PORTFOLIO BEHAVIOR IN THE UNITED STATES”, Journal of Banking and Finance 3 (1979) 113-131
  66. “INNOVATIONS AND THE PORTFOLIOS REPORTING BANKS”, Journal of Banking and Finance 6 (1982) 89-112.
  67. “INNOVATIONS AND THE PORTFOLIOS REPORTING BANKS”, Journal of Banking and Finance 6 (1982) 89-112.
  68. “Robust
    optimization of conditional value at risk and portfolio selection”,
    Journal of Banking & Finance 32 (2008) 2046–2056
  69. “STOCK
    PRICES, ASSET PORTFOLIOS AND MACROECONOMIC VARIABLES IN TEN EUROPEAN
    COUNTRIES”, Journal of Banking and Finance 13 (1989) 589-612.

_________________
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