期刊論文
| 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 | en |
| ISSN | 1350-4851 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 | 是 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92620 ) |