| dc.contributor | 風管系 | |
| dc.creator (作者) | Denuit, M.M.;Huang, Rachel J.;Tzeng, Larry Y.;Wang, C.W. | |
| dc.creator (作者) | 曾郁仁 | zh_TW |
| dc.date (日期) | 2014-04 | |
| dc.date.accessioned | 11-Jun-2015 13:07:39 (UTC+8) | - |
| dc.date.available | 11-Jun-2015 13:07:39 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Jun-2015 13:07:39 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/75672 | - |
| dc.description.abstract (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. | |
| dc.format.extent | 917652 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Banking and Finance, 41, 57-66 | |
| dc.subject (關鍵詞) | Almost stochastic dominance; Asset allocation; Marginal conditional stochastic dominance; Optimal investment | |
| dc.title (題名) | Almost marginal conditional stochastic dominance | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.jbankfin.2013.12.014 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.jbankfin.2013.12.014 | |
