期刊論文

學年 111
學期 1
出版(發表)日期 2022-08-01
作品名稱 Revisiting Almost Marginal Conditional Stochastic Dominance
作品名稱(其他語言)
著者 Tzu-Ying Chen; An-Mei Tsai; Larry Y. Tzeng
單位
出版者
著錄名稱、卷期、頁數 The Quarterly Review of Economics and Finance 85, p.260-269
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.
關鍵字 Marginal conditional stochastic dominance; Almost stochastic dominance; Efficient portfolios
語言 en
ISSN 1062-9769
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度
國別 NLD
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/122869 )