淡江大學機構典藏:Item 987654321/122869
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    题名: Revisiting Almost Marginal Conditional Stochastic Dominance
    作者: Chen, Tzu-Ying;Tsai, An-Mei;Tzeng, Larry Y.
    关键词: Marginal conditional stochastic dominance;Almost stochastic dominance;Efficient portfolios
    日期: 2022-08
    上传时间: 2023-04-28 16:20:23 (UTC+8)
    出版者: Elsevier BV
    摘要: In this paper, we 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. We show that this new rule can be implemented by linear programming. Finally, we demonstrate the application of this new rule by constructing a set of efficient portfolios characterized by US 10-year Treasuries, the Dow Jones US index, the Dow Jones US Islamic index and the Dow Jones Emerging Markets Islamic index.
    關聯: The Quarterly Review of Economics and Finance 85, p.260-269
    DOI: 10.1016/j.qref.2022.03.010
    显示于类别:[風險管理與保險學系] 期刊論文

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