幾乎邊際條件隨機優越的再探討

Abstract

本篇論文提出了一個新版本的幾乎邊際條件隨機優越。透過限制決策者的邊際效用比率，新的幾乎邊際條件隨機優越規則可以剔除效用函數過於「極端」的投資者，以提出更多的投資策略。本篇論文展示了如何使用線性規劃實現此版本的幾乎邊際條件隨機優越。最後，本文以Fama-French 三因子為例，實際展示如何使用此幾乎邊際條件隨機優越架構有效率的投資組合。

In this paper, I 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. I show that this new rule can be implemented by linear programming. Finally, I demonstrate the application of this new rule by constructing a set of efficient portfolios characterized by high momentum, high book-to-market value and small-size firms.