| Revisiting Almost Marginal Conditional Stochastic Dominance | |
|---|---|
| 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 | 是 |
| 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 ) |
| SDGS | 良好健康和福祉 |
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