| A Performance Index Consistent with Fractional-order Stochastic Dominance | |
|---|---|
| 學年 | 114 |
| 學期 | 1 |
| 出版（發表）日期 | 2025-10-01 |
| 作品名稱 | A Performance Index Consistent with Fractional-order Stochastic Dominance |
| 作品名稱（其他語言） | |
| 著者 | Tzu‑Ying Chen; Yi-Ting Chen; Rachel J. Huang; Larry Y. Tzeng |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Pacific-Basin Finance Journal 93 , p.102891 |
| 摘要 | We propose a performance index for ranking risky projects, termed the fractional-order Omega. The proposed index is consistent with the fractional-order stochastic dominance in between the first- and the second-order stochastic dominance, and bridges the traditional Omega and the second-order Omega. To illustrate its empirical applicability, we utilize the index to develop a market timing strategy. Empirical results show that the market timing strategy, which aims to maximize the fractional-order Omega ex ante, generally performs well ex post. |
| 關鍵字 | Fractional-order stochastic dominanc;Market timing;Omega;Performance index |
| 語言 | en |
| ISSN | |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | Tzu‑Ying Chen |
| 審稿制度 | 是 |
| 國別 | TWN |
| 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/987654321/128219 ) |
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