https://scholars.lib.ntu.edu.tw/handle/123456789/625753
標題: | Revisiting almost marginal conditional stochastic dominance | 作者: | Chen T.-Y Tsai A.-M LARRY YU-REN TZENG |
關鍵字: | Almost stochastic dominance; Efficient portfolios; Marginal conditional stochastic dominance | 公開日期: | 2022 | 卷: | 85 | 起(迄)頁: | 260-269 | 來源出版物: | Quarterly Review of Economics and Finance | 摘要: | In this paper, we propose a new notion of the almost marginal conditional stochastic dominance rule by confining the ratio of marginal utility to exclude decision makers with extreme preferences. We show that this new rule can be implemented by linear programming. Finally, we demonstrate the application of this new rule by constructing a set of efficient portfolios characterized by US 10-year Treasuries, the Dow Jones US index, the Dow Jones US Islamic index and the Dow Jones Emerging Markets Islamic index. © 2022 Board of Trustees of the University of Illinois |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85130333958&doi=10.1016%2fj.qref.2022.03.010&partnerID=40&md5=945b0afdc0060c25286fa2154b213482 https://scholars.lib.ntu.edu.tw/handle/123456789/625753 |
ISSN: | 10629769 | DOI: | 10.1016/j.qref.2022.03.010 |
顯示於: | 財務金融學系 |
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