股票與債券:二階幾乎隨機優越比較與應用補充

Stock vs Bond：Almost Second-order Stochastic Dominance Comparison and its Application Supplement

林谷諺(Ku-Yen Lin)

指導教授 ： 曾郁仁

國立臺灣大學/管理學院/財務金融學研究所/碩士(2016年)

https://doi.org/10.6342/NTU201601189

摘要

無資料

關鍵字

隨機優越

並列摘要

This paper is to examine the performance of stock and bond with the applications of Almost Stochastic Dominance (ASD). Besides that, with the new version issued by Tzeng et al (2013), this paper will use Almost Second-order Stochastic Dominance as one of decision rules to evaluate the performance between these two commodities. Furthermore, Generalized Almost Second Stochastic Dominance (GASSD) will be taken as a tool to testify the existence of the hierarchy property.
At last, single industry index will be used to see whether there is a ASD relationship with bond. All the process will follow the same steps as the overall stock index.

並列關鍵字

Stochastic Dominance ； Bond ； Stock ； First Order ； Second Order

參考文獻

[1] Bali, T. G., Demirtas, K. O., Levy, H., & Wolf, A. (2009). Bonds versus stocks: Investors’ age and risk taking. Journal of Monetary Economics, 56(6), 817-830.

[3] Hanoch, G., & Levy, H. (1969). The efficiency analysis of choices involving risk. The Review of Economic Studies, 36(3), 335-346.

[4] Latané, H. A. (1959). Rational Decision‐Making In Portfolio Management. The journal of finance, 14(3), 429-430.

[5] Leshno, M., & Levy, H. (2002). Preferred by “all” and preferred by “most” decision makers: Almost stochastic dominance. management Science, 48(8), 1074-1085.

[6] Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.