| dc.contributor | 商學院風險與保險研究中心 | |
| dc.creator (作者) | Chuang, O-Chia;Kuan, Chung-Ming;Tzeng, Larry Y. | en-US |
| dc.creator (作者) | 曾郁仁 | zh-tw |
| dc.date (日期) | 2017 | |
| dc.date.accessioned | 20-Jul-2017 15:22:34 (UTC+8) | - |
| dc.date.available | 20-Jul-2017 15:22:34 (UTC+8) | - |
| dc.date.issued (上傳時間) | 20-Jul-2017 15:22:34 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/111262 | - |
| dc.description.abstract (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. © 2016 Elsevier B.V. | |
| dc.format.extent | 764414 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Econometrics, 196(2), 368-378 | |
| dc.subject (關鍵詞) | Investments; Stochastic systems; Asymptotic distributions; Central dominance; Comparative statics; Empirical studies; Functional inequalities; Investment decisions; Portfolio selection; Stochastic Dominance; Economics | |
| dc.title (題名) | Testing for central dominance: Method and application | en-US |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1016/j.jeconom.2016.07.008 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.jeconom.2016.07.008 | |
