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Bayesian portfolio mean-variance efficiency test with sampling error of Sharpe ratio
Kao, Lie Jane; Huei Ching Soo; Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015049997
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An assessment of copula functions approach in conjunction with factor model in portfolio credit risk management
Kao, Lie Jane; Wu, Po-Cheng; Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015045615
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Time-changed GARCH versus the GARJI model for prediction of extreme news events : an empirical study
Kao, Lie Jane; Wu, Po-cheng; Lee, Cheng F. - In: International review of economics & finance : IREF 21 (2012) 1, pp. 115-129
Persistent link: https://www.econbiz.de/10009428082
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A portfolio-invariant capital allocation scheme penalizing concentration risk
Kao, Lie Jane - In: Economic modelling 51 (2015), pp. 560-570
Persistent link: https://www.econbiz.de/10011476155
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Time-changed GARCH versus GARJI model for extreme events : an empirical study
Kao, Lie Jane; Wu, Po-Cheng; Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015046799