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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/84574

    Title: 一般化幾乎隨機優越於投資決策之實證研究;An Empirical Study of Generalized Almost Stochastic Dominance in Investment Decisions
    Authors: 黃依潔
    Contributors: 企業管理學系
    Keywords: 幾乎隨機優越;一般化幾乎二階隨機優越;投資;股票;債券;almost stochastic dominance;generalized almost second-degree stochastic dominance;investment;stock;bond
    Date: 2020-12-08
    Issue Date: 2020-12-09 09:52:41 (UTC+8)
    Publisher: 科技部
    Abstract: 本計畫實證應用一般化隨機優越(GASD)法則,檢視對於大多數投資人是否股票投資組合優於債券投資組合。有別於文獻均應用Leshno and Levy (2002)所提出之幾乎一階和二階隨機優越(AFSD 和ASSD)檢視此研究問題,本計畫應用Tsetlin et al. (2015)所提出之一般化幾乎二階隨機優越(GASSD)檢視此研究問題。本計畫首先使用真實報酬資料和考慮不同投資期間,計算分別在三種類型之一般化幾乎二階隨機優越(GASSD): (ε1, 0)-GASSD、(0, ε2 )-GASSD 以及 (ε1, ε2 )-GASSD法則下,使股票投資組合優於債券投資組合之違背隨機優越(SD) 法則比率。接著,根據文獻已估計之一階和二階偏好參數值(ε1和ε2),各別在三種一般化幾乎二階隨機優越(GASSD)法則下,決定是否以及何時股票投資組合優於債券投資組合。最後,為使本計畫之結果與文獻進行比較,本計畫也計算在Leshno and Levy (2002)之幾乎一階和二階隨機優越(AFSD 和ASSD)法則下,使股票投資組合優於債券投資組合之違背隨機優越(SD) 法則比率。 ;This project empirically applies generalized almost stochastic dominance (GASD) rule to examine whether stock portfolios are preferred to bond portfolios by most investors. Unlike previous papers which examined the investment decision under almost first-degree and second-degree stochastic dominance (AFSD and ASSD) proposed by Leshno and Levy (2002), this project examines the investment decision under generalized almost second-degree stochastic dominance (GASSD) rule proposed by Tsetlin et al. (2015). With real data, I will first calculate violation ratios against stochastic dominance (SD) rules across different investment horizons for stock portfolios dominating the bond portfolios via three types of GASSD: (ε1, 0)-GASSD, (0, ε2 )-GASSD, and (ε1, ε2 )-GASSD, respectively. Then based on the values of the parameter ε1 and ε2 estimated by the literature, I will demonstrate whether and when the stock portfolios dominate the bond portfolios. Finally, to compare my results under GASSD rules with the results of previous papers, I will also calculate the violation ratios under AFSD and ASSD rules.
    Relation: 財團法人國家實驗研究院科技政策研究與資訊中心
    Appears in Collections:[企業管理學系] 研究計畫

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