https://scholars.lib.ntu.edu.tw/handle/123456789/414420
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Denuit M.M. | en_US |
dc.contributor.author | Huang R.J. | en_US |
dc.contributor.author | Tzeng L.Y. | en_US |
dc.contributor.author | Wang C.W. | en_US |
dc.creator | Wang C.W.;Tzeng L.Y.;Huang R.J.;Denuit M.M. | - |
dc.date.accessioned | 2019-07-22T07:00:32Z | - |
dc.date.available | 2019-07-22T07:00:32Z | - |
dc.date.issued | 2014 | - |
dc.identifier.issn | 03784266 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414420 | - |
dc.description.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. | - |
dc.language | English | - |
dc.relation.ispartof | Journal of Banking and Finance | - |
dc.subject | Almost stochastic dominance | - |
dc.subject | Asset allocation | - |
dc.subject | Marginal conditional stochastic dominance | - |
dc.subject | Optimal investment | - |
dc.title | Almost marginal conditional stochastic dominance | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.1016/j.jbankfin.2013.12.014 | - |
dc.identifier.scopus | 2-s2.0-84893415568 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84893415568&doi=10.1016%2fj.jbankfin.2013.12.014&partnerID=40&md5=1f7e27bc0e2e0542a848b321d77ae452 | - |
dc.relation.pages | 57-66 | - |
dc.relation.journalvolume | 41 | - |
dc.relation.journalissue | 1 | - |
item.cerifentitytype | Publications | - |
item.fulltext | no fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | journal article | - |
item.grantfulltext | none | - |
crisitem.author.dept | Finance | - |
crisitem.author.dept | Center for Research in Econometric Theory and Applications (CRETA) | - |
crisitem.author.parentorg | College of Management | - |
crisitem.author.parentorg | Others: University-Level Research Centers | - |
顯示於: | 財務金融學系 |
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