Dynamic Strategies for Asset Allocation 投資組合調整

http://greenhornfinancefootnote.blogspot.com/2008/10/dynamic-strategies-for-asset-allocation.html

http://www.indiceperu.com/lecturas/paper09.pdf

http://homepage.ntu.edu.tw/~kslin/course/fch8.ppt


假設我能接受的最大損失為X%

Value1 = I_OpenEquity

if Value1 > Value2 then
 Value2 = Value1
end if

//Value2 = I_OpenEquity 的歷史最大值

Value3 = (1-Value1/Value2)*(100-X)/X

//Value3 = 無風險性資產（Cash Asset）佔 I_OpenEquity 的比例

Value4 = Value3*I_OpenEquity

//Value4 = 無風險性資產（Cash Asset）金額