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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16386| 標題: | 邊際條件隨機優勢理論在台灣股市的應用 The Application of Marginal Conditional Stochastic Dominance Approach in Taiwan Stock Market |
| 作者: | Chih-Chiang Ko 柯志強 |
| 指導教授: | 郭震坤(Cheng-Kun Kuo) |
| 關鍵字: | 選股策略,邊際條件隨機優勢理論,優勢,劣勢, strategy of choosing portfolio,Marginal Conditional Stochastic Dominance,dominant,dominated, |
| 出版年 : | 2012 |
| 學位: | 碩士 |
| 摘要: | This thesis studies the strategy of choosing portfolio in equity market, based on the Marginal Conditional Stochastic Dominance（MCSD）method proposed by Shalit and Yitzhaki（2010）. MCSD suggests that investors can increase their expected utility by buying dominant stocks and selling dominated stock. This thesis uses the data from Taiwan market to test the suggestion. By analyzing ETF 50 index, we find out that the empirical results are consistent with that of Shalit and Yitzhaki. |
| URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16386 |
| 全文授權: | 未授權 |
| 顯示於系所單位： | 國際企業學系 |
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| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-101-1.pdf 未授權公開取用 | 6.99 MB | Adobe PDF |
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