| Reference: | Ackermann, C., McEnally, R., and D. Ravenscraft, The Performance of Hedge Funds: Risk, Return and Incentives, Journal of Finance 54, 833–874, 1999
Andersson, F., Mausser, H., Rosen, D., and S. Uryasev, Credit Risk Optimization with Conditional Value-At-Risk Criterion, Mathematical Programming Series B 89, 273-291, 2001.
Artzner, P., Delbaen F., Elber, J. M., and D. Heath, Coherent Measures of Risk, Mathematical Finance 9, 203–228, 1999.
Benati, S. and R. Rizzi, A mixed integer programming formulation of the optimal mean/Value-at-Risk portfolio problem, European Journal of Operational Research 176, 423-434, 2007.
Brooke, A., D. Kendrick, and A. Meeraus, GAMS-A User’s Guide, The Scientific Press, Redwood City, CA, 1988.
Fang, Y. and S.-Y. Wang, A fuzzy index tracking portfolio selection model, Lecture Notes in Computer Science 3516, 554-561, 2005.
Feinstein, C. D. and M. N. Thapa, A reformulation of a mean-absolute deviation portfolio optimization model, Management Science 39, 1552-1553, 1993.
Harlow, W. V., Asset allocation in a downside-risk framework, Financial Analysts Journal 47, 28-40, 1991.
Harlow, W. V., Asset Allocation in a Downside-Risk Framework, Financial Analysts Journal Sep/Oct, 28–40, 1991.
Konno, H. and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37, 519-531, 1991.
Krokhmal, P., Uryasev, S. and G. Zrazhevsky, Comparative analysis of linear portfolio rebalancing strategies an application to hedgefunds, The Journal of Alternative Investments Vol. 5(1), 10-29, 2002.
Luenberger, D. G., Investment science, Oxford University Press, New York, 1998.
Markowitz, H., Portfolio selection, Journal of Finance 7, 77-91, 1952.
Markowitz, H., Portfolio selection: Efficient diversification of investment, John Wiley & Sons, New York, 1959.
Meade, N. and G. R. Salkin, Index funds-construction and performance measurement, Journal of the Operational Research Society 40, 871-879, 1989.
Speranza, M. G., A heuristic algorithm for a portfolio optimization model applied to the Milan stock market, Computers & Operations Research 23, 433-441, 1996.
Speranza, M. G., Linear programming models for portfolio optimization, Finance 14, 107-123, 1993.
Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44, 673-683, 1998.
白惠琦，指數基金追蹤模型的最佳化，國立政治大學應用數學系碩士論文，民91。
朱志達，超越指數績效的投資組合最佳化模型，國立政治大學應用數學系碩士論文，民99。
莊智祥，使用目標規劃建立指數基金，國立政治大學應用數學系碩士論文，民87。
楊芯純，大中取小法建立最佳投資組合，國立政治大學應用數學系碩士論文，民91。
謝承哲，追蹤穩定成長目標線的投資組合最佳化模型，國立政治大學應用數學系碩士論文，民99。
蘇代利，調整指數基金的最小成本模型，國立政治大學應用數學系碩士論文，民91。 |
