邊際條件隨機優勢理論在台灣股市的應用

The Application of Marginal Conditional Stochastic Dominance Approach in Taiwan Stock Market

柯志強(Chih-Chiang Ko)

指導教授 ： 郭震坤

國立臺灣大學/管理學院/國際企業學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.10843

摘要

無資料

關鍵字

選股策略 ； 邊際條件隨機優勢理論 ； 優勢 ； 劣勢

並列摘要

This thesis studies the strategy of choosing portfolio in equity market, based on the Marginal Conditional Stochastic Dominance（MCSD）method proposed by Shalit and Yitzhaki（2010）. MCSD suggests that investors can increase their expected utility by buying dominant stocks and selling dominated stock. This thesis uses the data from Taiwan market to test the suggestion. By analyzing ETF 50 index, we find out that the empirical results are consistent with that of Shalit and Yitzhaki.

並列關鍵字

strategy of choosing portfolio ； Marginal Conditional Stochastic Dominance ； dominant ； dominated

參考文獻

[2]Hadar, J., and W., R., Russell, 1969, "Rules of Ordering Uncertain Prospects,” The American Economic Review 59（1）, 25-34.

[3]Hanoch, G., and H., Levy, 1969 "The Efficiency Analysis of Choices Involving Risk,” Rev. Economic Studies 36, 335-346

[4]Levy, H., and G., Hanoch, 1970, "Relative Effectiveness of Efficiency Criteria for Portfolio Selection,” Journal of Finance and Quantitative Analysis 5（1）, 63-76.

[5]Levy, H., and Y., Kroll, 1979, "Ordering Uncertain Options with Borrowing and Lending," Journal of Finance 33（2）, 553-574.

[6]Levy H., and Y., Spector, 1996, "Cross-Asset versus Time Diversification," Journal of Portfolio Management 22（3）, 24-34.