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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/19286
標題: | 股票與債券:二階幾乎隨機優越比較與應用補充 Stock vs Bond:Almost Second-order Stochastic Dominance Comparison and its Application Supplement |
作者: | Ku-Yen Lin 林谷諺 |
指導教授: | 曾郁仁 |
關鍵字: | 隨機優越, Stochastic Dominance,Bond,Stock,First Order,Second Order, |
出版年 : | 2016 |
學位: | 碩士 |
摘要: | This paper is to examine the performance of stock and bond with the applications of Almost Stochastic Dominance (ASD). Besides that, with the new version issued by Tzeng et al (2013), this paper will use Almost Second-order Stochastic Dominance as one of decision rules to evaluate the performance between these two commodities. Furthermore, Generalized Almost Second Stochastic Dominance (GASSD) will be taken as a tool to testify the existence of the hierarchy property.
At last, single industry index will be used to see whether there is a ASD relationship with bond. All the process will follow the same steps as the overall stock index. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/19286 |
DOI: | 10.6342/NTU201601189 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
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檔案 | 大小 | 格式 | |
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ntu-105-1.pdf 目前未授權公開取用 | 1.21 MB | Adobe PDF |
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