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政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/112058

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/112058

Title:	Testing for central dominance: Method and application
Authors:	Chuang, O-Chia;Kuan, Chung-Ming;Tzeng, Larry Y. 曾郁仁
Contributors:	風管系
Keywords:	Central dominance;Contact set;Functional inequality;Portfolio selection;Stochastic dominance
Date:	2017-02
Issue Date:	2017-08-21 16:51:09 (UTC+8)
Abstract:	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.
Relation:	Journal of Econometrics,Volume 196, Issue 2, Pages 368-378
Data Type:	article
DOI link:	https://doi.org/10.1016/j.jeconom.2016.07.008
DOI:	10.1016/j.jeconom.2016.07.008
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

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