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題名: | Almost marginal conditional stochastic dominance | 作者: | Denuit, M.M.;Huang, Rachel J.;Tzeng, Larry Y.;Wang, C.W. 曾郁仁 |
貢獻者: | 風管系 | 關鍵詞: | Almost stochastic dominance; Asset allocation; Marginal conditional stochastic dominance; Optimal investment | 日期: | 四月-2014 | 上傳時間: | 11-六月-2015 | 摘要: | 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. | 關聯: | Journal of Banking and Finance, 41, 57-66 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.jbankfin.2013.12.014 |
Appears in Collections: | 期刊論文 |
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