Mutual Fund Performance Evaluation and Dynamic Portfolio Strategy Design Using Value at Risk

(整期优先)网络出版时间:2004-04-14
/ 1
TraditionalevaluationtechniquesformutualfundsarebasedonCAPMorAPT.ProposeanewmeasurebenefitingfromValueatRiskisproposedinthispaper.WeshowhowtoapplytheVARdynamicstotheevaluationofmutualfunds.Meanwhile,weappliedtheideatothedesignofdynamicportfolioconstructionstrategies.Asfortheportfolioweightadjusting,thispaperisfocusedontheoptimaladjustingstrategieswithcosthappensandthoseonconcretetimepoints.