کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088938 | 1478334 | 2014 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Almost marginal conditional stochastic dominance
ترجمه فارسی عنوان
تسلط احتمالی مشروط تقریبا حاشیه ای
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Marginal Conditional Stochastic Dominance (MCSD) developed by Shalit and Yitzhaki (1994) gives the conditions under which all risk-averse individuals prefer to increase the share of one risky asset over another in a given portfolio. In this paper, we extend this concept to provide conditions under which most (and not all) risk-averse investors behave in this way. Instead of stochastic dominance rules, almost stochastic dominance is used to assess the superiority of one asset over another in a given portfolio. Switching from MCSD to Almost MCSD (AMCSD) helps to reconcile common practices in asset allocation and the decision rules supporting stochastic dominance relations. A financial application is further provided to demonstrate that using AMCSD can indeed improve investment efficiency.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 41, April 2014, Pages 57-66
Journal: Journal of Banking & Finance - Volume 41, April 2014, Pages 57-66
نویسندگان
Michel M. Denuit, Rachel J. Huang, Larry Y. Tzeng, Christine W. Wang,