https://scholars.lib.ntu.edu.tw/handle/123456789/414420
Title: | Almost marginal conditional stochastic dominance | Authors: | Denuit M.M. Huang R.J. Tzeng L.Y. Wang C.W. |
Keywords: | Almost stochastic dominance;Asset allocation;Marginal conditional stochastic dominance;Optimal investment | Issue Date: | 2014 | Journal Volume: | 41 | Journal Issue: | 1 | Start page/Pages: | 57-66 | Source: | Journal of Banking and Finance | 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. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414420 | ISSN: | 03784266 | DOI: | 10.1016/j.jbankfin.2013.12.014 |
Appears in Collections: | 財務金融學系 |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.