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    題名: Estimating Risk Preferences for Most Investors
    作者: Rachel, R. Huang;Wang, Kili C.
    關鍵詞: Almost stochastic dominance;portfolio selection;bootstrapping estimation
    日期: 2018-08-05
    上傳時間: 2019-04-08 12:10:36 (UTC+8)
    摘要: This paper adopts individual portfolio choice data to estimate the preference parameters in almost stochastic dominance (ASD). ASD is a decision criterion for most decision makers to rank distributions on the basis of riskiness. Existing empirical studies have shown that ASD is helpful in explaining some puzzles in …nance and could be applied
    to evaluate investment strategies. Their conclusions heavily rely on the estimation of
    the preference parameters in the ASD rules provided by Levy et al. (2010). However,
    the estimation of Levy et al. (2010) is obtained from arti…cial tasks designed in a lab-
    oratory by using students as subjects and adopts an incorrect condition for the almost
    second-degree stochastic dominance. Our paper is the …rst to use empirical observations
    in portfolio choice decisions and to adopt the correct conditions to estimate the pref-
    erence parameters in ASD. Our estimation shows that these preference parameters are
    much lower than the numbers in Levy et al. (2010). Since these parameters serve as
    upper bounds to obtain the unambiguous prediction on the ranking of distributions, our
    …ndings suggest the needs of re-examination on the existing empirical conclusions.
    關聯: American Risk and Insurance Association2018 Annual Meeting
    顯示於類別:[風險管理與保險學系] 會議論文

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