English  |  正體中文  |  简体中文  |  Items with full text/Total items : 56733/90513 (63%)
Visitors : 12077677      Online Users : 38
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92620

    Title: Are investors’ portfolios enhanced by incorporating CTA index funds?
    Authors: Ni, Yen-Sen;Huang, Pao-Yu
    Contributors: 淡江大學管理科學學系
    Keywords: managed futures funds;CTA index;correlation coefficients;asset allocation
    Date: 2014
    Issue Date: 2013-10-21 12:10:29 (UTC+8)
    Publisher: Abingdon: Routledge
    Abstract: 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).
    Relation: Applied Economics Letters 21(1), pp.43-46
    DOI: 10.1080/13504851.2013.837571
    Appears in Collections:[Department of Management Sciences] Journal Article

    Files in This Item:

    File Description SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback