Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/112058
DC Field | Value | Language |
---|---|---|
dc.contributor | 風管系 | zh_TW |
dc.creator | Chuang, O-Chia;Kuan, Chung-Ming;Tzeng, Larry Y. | en-US |
dc.creator | 曾郁仁 | zh-TW |
dc.date | 2017-02 | |
dc.date.accessioned | 2017-08-21T08:51:09Z | - |
dc.date.available | 2017-08-21T08:51:09Z | - |
dc.date.issued | 2017-08-21T08:51:09Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/112058 | - |
dc.description.abstract | 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. | en_US |
dc.format.extent | 764414 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Journal of Econometrics,Volume 196, Issue 2, Pages 368-378 | en_US |
dc.subject | Central dominance; Contact set; Functional inequality; Portfolio selection; Stochastic dominance | en_US |
dc.title | Testing for central dominance: Method and application | en_US |
dc.type | article | |
dc.identifier.doi | 10.1016/j.jeconom.2016.07.008 | |
dc.doi.uri | https://doi.org/10.1016/j.jeconom.2016.07.008 | |
item.grantfulltext | restricted | - |
item.fulltext | With Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 期刊論文 |
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