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    題名: Testing for central dominance: Method and application
    作者: Chuang, O-Chia;Kuan, Chung-Ming;Tzeng, Larry Y.
    貢獻者: 風管系
    關鍵詞: Central dominance;Contact set;Functional inequality;Portfolio selection;Stochastic dominance
    日期: 2017-02
    上傳時間: 2017-08-21 16:51:09 (UTC+8)
    摘要: Central dominance (CD) introduced in Gollier (1995, Journal of Economic Theory) is a risk concept that differs from stochastic dominance (SD) in an important way. In particular, CD implies a deterministic comparative static of a change in decision when risk changes, but SD does not have such an implication. In this paper, we propose the first test of central dominance, which amounts to checking a functional inequality. We derive the asymptotic distribution of a lower bound of the proposed test and suggest a bootstrap procedure to compute the critical values. We also conduct simulations to evaluate the performance of this test. Our empirical study finds clear evidence of CD relations between the S&P 500 index return distributions during 2001–2013 and results in unambiguous implications for investment decisions.
    關聯: Journal of Econometrics,Volume 196, Issue 2, Pages 368-378
    資料類型: article
    DOI 連結: https://doi.org/10.1016/j.jeconom.2016.07.008
    DOI: 10.1016/j.jeconom.2016.07.008
    顯示於類別:[風險管理與保險學系 ] 期刊論文


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