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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/111262

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/111262

Title:	Testing for central dominance: Method and application
Authors:	Chuang, O-Chia;Kuan, Chung-Ming;Tzeng, Larry Y. 曾郁仁
Contributors:	商學院風險與保險研究中心
Keywords:	Investments;Stochastic systems;Asymptotic distributions;Central dominance;Comparative statics;Empirical studies;Functional inequalities;Investment decisions;Portfolio selection;Stochastic Dominance;Economics
Date:	2017
Issue Date:	2017-07-20 15:22:34 (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. © 2016 Elsevier B.V.
Relation:	Journal of Econometrics, 196(2), 368-378
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.jeconom.2016.07.008
DOI:	10.1016/j.jeconom.2016.07.008
Appears in Collections:	[風險管理與保險學系] 期刊論文

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