https://scholars.lib.ntu.edu.tw/handle/123456789/414413
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Chuang O.-C. | en_US |
dc.contributor.author | Kuan C.-M. | en_US |
dc.contributor.author | CHUNG-MING KUAN | en_US |
dc.creator | Tzeng L.Y.;Kuan C.-M.;Chuang O.-C. | - |
dc.date.accessioned | 2019-07-22T07:00:30Z | - |
dc.date.available | 2019-07-22T07:00:30Z | - |
dc.date.issued | 2017 | - |
dc.identifier.issn | 03044076 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414413 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.relation.ispartof | Journal of Econometrics | - |
dc.subject | Central dominance | - |
dc.subject | Contact set | - |
dc.subject | Functional inequality | - |
dc.subject | Portfolio selection | - |
dc.subject | Stochastic dominance | - |
dc.subject.classification | [SDGs]SDG10 | - |
dc.subject.other | Investments; Stochastic systems; Asymptotic distributions; Central dominance; Comparative statics; Empirical studies; Functional inequalities; Investment decisions; Portfolio selection; Stochastic Dominance; Economics | - |
dc.title | Testing for central dominance: Method and application | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.1016/j.jeconom.2016.07.008 | - |
dc.identifier.scopus | 2-s2.0-85028255696 | - |
dc.identifier.url | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85028255696&doi=10.1016%2fj.jeconom.2016.07.008&partnerID=40&md5=1180228c14b7671fd5c4e4980aaf56b5 | - |
dc.relation.pages | 368-378 | - |
dc.relation.journalvolume | 196 | - |
dc.relation.journalissue | 2 | - |
item.fulltext | no fulltext | - |
item.cerifentitytype | Publications | - |
item.openairetype | journal article | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.grantfulltext | none | - |
crisitem.author.dept | Finance | - |
crisitem.author.dept | Institute of Statistics and Data Science | - |
crisitem.author.parentorg | College of Management | - |
crisitem.author.parentorg | College of Science | - |
顯示於: | 財務金融學系 |
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