Dynamic proportion portfolio insurance using genetic programming with principal component analysis

NCUIR > School of Management at National Central University > Graduate Institute of Information Management > journal & Dissertation > Item 987654321/31488

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31488

Title:	Dynamic proportion portfolio insurance using genetic programming with principal component analysis
Authors:	Chen,Jiah-Shing;Chang,Chia-Lan;Hou,Jia-Li;Lin,Yao-Tang
Contributors:	資訊管理研究所
Keywords:	STOCK RETURNS;TRADING RULES;INVESTMENT;INDEX
Date:	2008
Issue Date:	2010-07-06 17:48:52 (UTC+8)
Publisher:	中央大學
Abstract:	This paper proposes a dynamic proportion portfolio insurance (DPPI) strategy based on the popular constant proportion portfolio insurance (CPPI) strategy. The constant multiplier in CPPI is generally regarded as the risk multiplier. Since the market chang
Relation:	EXPERT SYSTEMS WITH APPLICATIONS????
Appears in Collections:	[Graduate Institute of Information Management] journal & Dissertation

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	457	View/Open

社群 sharing