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題名: | Testing for central dominance: Method and application | 作者: | Chuang, O-Chia;Kuan, Chung-Ming;Tzeng, Larry Y. 曾郁仁 |
貢獻者: | 風管系 | 關鍵詞: | Central dominance; Contact set; Functional inequality; Portfolio selection; Stochastic dominance | 日期: | 二月-2017 | 上傳時間: | 21-八月-2017 | 摘要: | Central dominance (CD) introduced in Gollier (1995, Journal of Economic Theory) is a risk concept that differs from stochastic dominance (SD) in an important way. In particular, CD implies a deterministic comparative static of a change in decision when risk changes, but SD does not have such an implication. In this paper, we propose the first test of central dominance, which amounts to checking a functional inequality. We derive the asymptotic distribution of a lower bound of the proposed test and suggest a bootstrap procedure to compute the critical values. We also conduct simulations to evaluate the performance of this test. Our empirical study finds clear evidence of CD relations between the S&P 500 index return distributions during 2001–2013 and results in unambiguous implications for investment decisions. | 關聯: | Journal of Econometrics,Volume 196, Issue 2, Pages 368-378 | 資料類型: | article | DOI: | https://doi.org/10.1016/j.jeconom.2016.07.008 |
Appears in Collections: | 期刊論文 |
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