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Title: Almost marginal conditional stochastic dominance
Authors: Denuit, M.M.;Huang, Rachel J.;Tzeng, Larry Y.;Wang, C.W.
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:
Appears in Collections:[風險管理與保險學系] 期刊論文

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