4ShingLin FanGan. A study on SPAN's and TIMS's intercommodity risk - measuring methodology for portfolio that inctude options [ DB/OL ]. http ://etd. lib. nsysu. edu. tw/ETD - db/ETD - search - c/view_ etd? URN = etd -0704102 - 14126, 2004 -9 - 11.
5BUTLER J S, SCHACHTER B. Estimating value at risk with precision measure by combining kernel estimation with historical simulation [ J ]. Review of Derivatives Research, 1998 ( 1 ) :371 - 390.
6CKIV S T. Bandwidth selection for kernel density estimation [ J ]. AnnStatist, 1991 ( 19 ) : 1883 - 1905.
7Steinbach,Marc C.SIAM Review.Markowitz Revisited:Mean-Variance Models in Financial Portfolio Analysis[J].SIAM Review,2001,43(1):31-56.
8Ruey-Shan Guo, Jin-Jung Chen.An EWMA-based process mean estimator with dynamic turning capability[J].IIE Transactions,2002,34(6):573-583.
9Love,J.A Model of Trade diversification Based on the Markowitz Model of Portfolio Analysis[J].Journal of Development Studies,1979,15(2):233-242.
10Reynolds Jr,Marion R,Arnold,Jesse C.EWMA control charts with variable sample sizes and variable sampling intervals[J].IIE Transactions, 2001,33(6):511-531.