This is a final project of risk managment course in the National Taiwan University. I combined the concepts from Thomas J. George and Chuan-Yang Hwang (2004) and Abhinav Anand, Tiantian Li, Tetsuo Kurosaki, and Young Shin Kim (2016), and used data from the Taiwan stock market from 2011-2022 for the study. The research results show that the investment portfolio formed by the 52-week high factor has higher cumulative returns over ten years compared to the TWII market index. Furthermore, the portfolio optimized using the Foster-Hart risk measure performed better than the mean-variance portfolio.
TiWenChen/Risk-Management
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