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https://ah.nccu.edu.tw/handle/140.119/75672
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| Title: | Almost marginal conditional stochastic dominance |
| Authors: | Denuit, M.M.;Huang, Rachel J.;Tzeng, Larry Y.;Wang, C.W. 曾郁仁 |
| Contributors: | 風管系 |
| Keywords: | Almost stochastic dominance;Asset allocation;Marginal conditional stochastic dominance;Optimal investment |
| Date: | 2014-04 |
| Issue Date: | 2015-06-11 13:07:39 (UTC+8) |
| Abstract: | Marginal Conditional Stochastic Dominance (MCSD) developed by Shalit and Yitzhaki (1994) gives the conditions under which all risk-averse individuals prefer to increase the share of one risky asset over another in a given portfolio. In this paper, we extend this concept to provide conditions under which most (and not all) risk-averse investors behave in this way. Instead of stochastic dominance rules, almost stochastic dominance is used to assess the superiority of one asset over another in a given portfolio. Switching from MCSD to Almost MCSD (AMCSD) helps to reconcile common practices in asset allocation and the decision rules supporting stochastic dominance relations. A financial application is further provided to demonstrate that using AMCSD can indeed improve investment efficiency. © 2013 Elsevier B.V. |
| Relation: | Journal of Banking and Finance, 41, 57-66 |
| Data Type: | article |
| DOI 連結: | http://dx.doi.org/10.1016/j.jbankfin.2013.12.014 |
| Appears in Collections: | [風險管理與保險學系 ] 期刊論文 |
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