幾乎邊際條件隨機優越的再探討

Revisiting Almost Marginal Conditional Stochastic Dominance

蔡安玫(An-Mei Tsai)

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(2022年)

https://doi.org/10.6342/NTU202201464

摘要

本篇論文提出了一個新版本的幾乎邊際條件隨機優越。透過限制決策者的邊際效用比率，新的幾乎邊際條件隨機優越規則可以剔除效用函數過於「極端」的投資者，以提出更多的投資策略。本篇論文展示了如何使用線性規劃實現此版本的幾乎邊際條件隨機優越。最後，本文以Fama-French 三因子為例，實際展示如何使用此幾乎邊際條件隨機優越架構有效率的投資組合。

關鍵字

邊際條件隨機優越 ； 幾乎隨機優越 ； 效率投資組合

並列摘要

In this paper, I propose a new notion of the almost marginal conditional stochastic dominance rule by confining the ratio of marginal utility to exclude decision makers with extreme preferences. I show that this new rule can be implemented by linear programming. Finally, I demonstrate the application of this new rule by constructing a set of efficient portfolios characterized by high momentum, high book-to-market value and small-size firms.

並列關鍵字

Marginal conditional stochastic dominance ； almost stochastic dominance ； efficient portfolios

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