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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曾郁仁(Larry Tzeng) | |
| dc.contributor.author | An-Mei Tsai | en |
| dc.contributor.author | 蔡安玫 | zh_TW |
| dc.date.accessioned | 2023-03-19T21:22:05Z | - |
| dc.date.copyright | 2022-08-12 | |
| dc.date.issued | 2022 | |
| dc.date.submitted | 2022-07-18 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/83885 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2023-03-19T21:22:05Z (GMT). No. of bitstreams: 1 U0001-1407202215195200.pdf: 1113969 bytes, checksum: b031e8453c312d675daea194fa6ab01a (MD5) Previous issue date: 2022 | en |
| dc.description.tableofcontents | [Contents] Master's Thesis Acceptance Certificate i Acknowledgement ii Abstract iii 1 Introduction 1 2 Almost Marginal Conditional Stochastic Dominance 4 2.1 Notation . . . 4 2.2 Pairwise Comparison . . . 4 2.3 Simultaneous Changes in Multiple Assets . . . 7 2.4 Linear Programming . . . 8 3 Empirical Applications 9 3.1 Pairwise Comparison . . . 11 3.2 Finding Efficient Portfolios Using Linear Programming . . . 14 4 Conclusions 16 References 18 Appendix 21 A.1 Proof of Proposition 1 . . . 21 A.2 Proof of Proposition 3 . . . 22 [Contents of Figures and Tables] Figures Figure 1: The ACCs . . . 6 Figure 2: The ACCs for the portfolios Ws = 1 and Wb = 1 . . . 11 Figure 3: Efficient portfolios under '1-AMCSD . . . 14 Figure 4: Efficient portfolios under '2-AMCSD . . . 15 Figure 5: The relationships among the almost stochastic dominance rules . . . 17 Tables Table 1: Summary statistics of monthly returns . . . 10 Table 2: Portfolio returns, ACC, and B (r)(in%) . . . 12 Table 3: Pairwise comparisons . . . 13 | |
| dc.language.iso | en | |
| dc.subject | 效率投資組合 | zh_TW |
| dc.subject | 邊際條件隨機優越 | zh_TW |
| dc.subject | 幾乎隨機優越 | zh_TW |
| dc.subject | Marginal conditional stochastic dominance | en |
| dc.subject | efficient portfolios | en |
| dc.subject | almost stochastic dominance | en |
| dc.title | 幾乎邊際條件隨機優越的再探討 | zh_TW |
| dc.title | Revisiting Almost Marginal Conditional Stochastic Dominance | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 110-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 黃瑞卿(Jui-Ching Huang),王之彥(Jr-Yan Wang) | |
| dc.subject.keyword | 邊際條件隨機優越,幾乎隨機優越,效率投資組合, | zh_TW |
| dc.subject.keyword | Marginal conditional stochastic dominance,almost stochastic dominance,efficient portfolios, | en |
| dc.relation.page | 22 | |
| dc.identifier.doi | 10.6342/NTU202201464 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2022-07-19 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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