https://scholars.lib.ntu.edu.tw/handle/123456789/414413
標題: | Testing for central dominance: Method and application | 作者: | Chuang O.-C. Kuan C.-M. CHUNG-MING KUAN |
關鍵字: | Central dominance;Contact set;Functional inequality;Portfolio selection;Stochastic dominance | 公開日期: | 2017 | 卷: | 196 | 期: | 2 | 起(迄)頁: | 368-378 | 來源出版物: | Journal of Econometrics | 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¡V2013 and results in unambiguous implications for investment decisions. ? 2016 Elsevier B.V. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414413 | ISSN: | 03044076 | DOI: | 10.1016/j.jeconom.2016.07.008 | SDG/關鍵字: | Investments; Stochastic systems; Asymptotic distributions; Central dominance; Comparative statics; Empirical studies; Functional inequalities; Investment decisions; Portfolio selection; Stochastic Dominance; Economics |
顯示於: | 財務金融學系 |
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