کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6896191 | 1445991 | 2016 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Standard Stochastic Dominance
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We propose a new Stochastic Dominance (SD) criterion based on standard risk aversion, which assumes decreasing absolute risk aversion and decreasing absolute prudence. To implement the proposed criterion, we develop linear systems of optimality conditions for a given prospect relative to a discrete or polyhedral choice opportunity set in a general state-space model. An empirical application to historical stock market data shows that small-loser stocks are more appealing to standard risk averters than the existing mean-variance (MV) and higher-order SD criteria suggest, due to their upside potential. Depending on the assumed trading strategy and evaluation horizon, accounting for standardness increases the estimated abnormal returns of these stocks by about 50 to 200 basis points per annum relative to MV and higher-order SD criteria. An analysis of the MV tangency portfolio shows that the opportunity cost of the MV approximation to direct utility maximization can be substantial.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 248, Issue 3, 1 February 2016, Pages 1009-1020
Journal: European Journal of Operational Research - Volume 248, Issue 3, 1 February 2016, Pages 1009-1020
نویسندگان
Thierry Post,