The dynamic portfolio frontier theory in a mean-variance framework previously developed by scholars suffers some limitations. Specifically, the theory assumes the use of the martingale approach, the assumption of a complete market and particular probability distribution of asset returns....

This study compares the out-of-sample performances among Black-Scholes (B-S), Stochastic Volatility (SV) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models in the Taiwan option market. Using Absolute Relative Pricing Error (ARPE) as the performance criterion, the...

This study uses the sample with 539 individual stocks in Taiwan stock market from July 2002 to December 2007 for discussing and comparing the performances among these portfolios of institutional net buys/sells, Jegadeesh and Titman (JT) momentum strategy and George and Hwang (GH) momentum...

This study aims to demonstrate the optimal multiperiod dynamic asset allocation for a generalized situation and enable the investor to maximize his expected terminal wealth utility. Previous researches solved this problem constrained by the investor's utility function, the asset return...