教師資料查詢 | 類別: 會議論文 | 教師: 汪琪玲 Kili C. Wang (瀏覽個人網頁)

標題:Estimating Risk Preferences for Most Investors
學年107
學期1
發表日期2018/08/05
作品名稱Estimating Risk Preferences for Most Investors
作品名稱(其他語言)
著者Rachel, R. Huang; Kili C. Wang
作品所屬單位
出版者
會議名稱American Risk and Insurance Association2018 Annual Meeting
會議地點Chicago, USA
摘要This paper adopts individual portfolio choice data to estimate the preference parameters in almost stochastic dominance (ASD). ASD is a decision criterion for most decision makers to rank distributions on the basis of riskiness. Existing empirical studies have shown that ASD is helpful in explaining some puzzles in …nance and could be applied
to evaluate investment strategies. Their conclusions heavily rely on the estimation of
the preference parameters in the ASD rules provided by Levy et al. (2010). However,
the estimation of Levy et al. (2010) is obtained from arti…cial tasks designed in a lab-
oratory by using students as subjects and adopts an incorrect condition for the almost
second-degree stochastic dominance. Our paper is the …rst to use empirical observations
in portfolio choice decisions and to adopt the correct conditions to estimate the pref-
erence parameters in ASD. Our estimation shows that these preference parameters are
much lower than the numbers in Levy et al. (2010). Since these parameters serve as
upper bounds to obtain the unambiguous prediction on the ranking of distributions, our
…ndings suggest the needs of re-examination on the existing empirical conclusions.
關鍵字Almost stochastic dominance; portfolio selection; bootstrapping estimation;
語言英文(美國)
收錄於
會議性質國際
校內研討會地點
研討會時間20180805~20180808
通訊作者
國別美國
公開徵稿
出版型式
出處American Risk and Insurance Association2018 Annual Meeting
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