教師資料查詢 | 類別: 期刊論文 | 教師: 倪衍森 NI, YEN-SEN (瀏覽個人網頁)

標題:Are investors’ portfolios enhanced by incorporating CTA index funds?
學年102
學期1
出版(發表)日期2014/01/01
作品名稱Are investors’ portfolios enhanced by incorporating CTA index funds?
作品名稱(其他語言)
著者Ni, Yen-Sen; Huang, Pao-Yu
單位淡江大學管理科學學系
出版者Abingdon: Routledge
著錄名稱、卷期、頁數Applied Economics Letters 21(1), pp.43-46
摘要By exploring the CTA index with other representative indices across stock, bond, currency, futures, oil, gold and commodity markets, we reveal several impressive findings for the CTA index. First, an upward trend exists for the CTA index without obvious drops. Second, a lower correlation is shown between the CTA index and each of these indices without exceptions. Third, neither causality nor cointegration is revealed as well. The findings revealed above seldom coexist for other financial commodities, implying that investors are able to enhance their portfolios by incorporating CTA index funds according to the portfolio selection proposed by Markowitz (1952).
關鍵字managed futures funds; CTA index; correlation coefficients; asset allocation
語言英文
ISSN1350-4851;1466-4291
期刊性質國外
收錄於SSCI
產學合作
通訊作者Huang, Pao-Yu
審稿制度
國別英國
公開徵稿
出版型式紙本
相關連結
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