條件隨機優越方法-以掩護性買權策略為例

Conditional Stochastic Dominance method - A case study of Buy-Write Strategy

管亭雁(Kuan, Ting Yen)

指導教授 ： 張焯然

國立清華大學/科技管理學院/計量財務金融系/碩士(2017年)

摘要

當決策者面臨策略選擇時，會牽涉到許多考量的因素。隨機優越方法給予了和傳統方式不一樣的觀點，而其嚴格的限制條件在實證上較難有發揮的空間。幾乎隨機優越方法針對此項因素作了一定程度上的調整，同樣證時存在多數決策者的效用函數會以優勢方為策略選擇。但經過我們研究發現，隨機優越方法的判定會與常理有所出入。基於此情形，我們提出了較符合財務運用上的條件隨機優越方法，並以探討掩護性買權策略為例，實證結果條件隨機優越方法的判定結果更貼近多數決策者的選擇。

關鍵字

隨機優越 ； 幾乎隨機優越 ； 條件隨機優越 ； 掩護性買權

並列摘要

When decision makers are faced with strategies, there are many factors involved. The Stochastic Dominance gives different viewpoints to the traditional ways, but the applications are subject to its strict rules. As a result,Almost Stochastic Dominance improves the efficiency of judgement, which is able to reveal most investor’s preference. However, our study points out that there is some incorrect result when using ASD rule to define the dominant strategy. In this paper, we establish Conditional Stochastic Dominance (CSD) rule which is more consistent to the financial behavior, and apply CSD rule to analyze the CBOE Buy-Write strategies.

並列關鍵字

Stochastic Dominance ； Almost Stochastic Dominance ； Conditional Stochastic Dominance ； Buy-Write strategy

參考文獻

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