시변하는 CAPM 베타 추정을 위한 모형 및 그 응용Models for estimating time-varying CAPM betas and their applications
- Advisors
- 전덕빈researcher; Jun, Duk-Binresearcher
- Description
- 한국과학기술원 : 경영공학전공,
- Publisher
- 한국과학기술원
- Issue Date
- 2000
- Identifier
- 158309/325007 / 000983278
- Language
- kor
- Description
학위논문(석사) - 한국과학기술원 : 경영공학전공, 2000.2, [ vii, 53 p. ]
- Keywords
칼만 필터링; 시변모수 모형; CAPM 베타; 지수추적포트폴리오; Index tracking portfolio; Kalman-filtering; Time-varying parameter model; CAPM beta
- Appears in Collection
- KGSM-Theses_Master(석사논문)
- Files in This Item
- There are no files associated with this item.
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