摘要
TraditionalevaluationtechniquesformutualfundsarebasedonCAPMorAPT.ProposeanewmeasurebenefitingfromValueatRiskisproposedinthispaper.WeshowhowtoapplytheVARdynamicstotheevaluationofmutualfunds.Meanwhile,weappliedtheideatothedesignofdynamicportfolioconstructionstrategies.Asfortheportfolioweightadjusting,thispaperisfocusedontheoptimaladjustingstrategieswithcosthappensandthoseonconcretetimepoints.
出版日期
2004年04月14日(中国期刊网平台首次上网日期,不代表论文的发表时间)