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위험조정과 모멘텀 투자전략에 관한 연구 : risk adjustment and momentum trading strategy
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- Authors
- Advisor
- 안동현
- Issue Date
- 2007
- Publisher
- 서울대학교 대학원
- Keywords
- 위험조정 ; risk adjustment ; 위험측도 ; risk measure ; 위험프리미엄 ; sensitivity ; 모수적 모형 ; risk premium ; 비모수적 모형 ; hedge portfolio ; 모멘텀 포트폴리오 ; parametric model ; 승자 ; non-parametric model ; 패자 ; momentum portfolio ; 확률 할인인자 ; winner ; loser ; stochastic discount factor ; pricing kernel.
- Description
- 학위논문(박사) --서울대학교 대학원 :경제학부,2007.
- Language
- Korean
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000044618
https://hdl.handle.net/10371/21423
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