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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/19286
Title: | 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 |
Authors: | Ku-Yen Lin 林谷諺 |
Advisor: | 曾郁仁 |
Keyword: | 隨機優越, Stochastic Dominance,Bond,Stock,First Order,Second Order, |
Publication Year : | 2016 |
Degree: | 碩士 |
Abstract: | 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 |
Fulltext Rights: | 未授權 |
Appears in Collections: | 財務金融學系 |
Files in This Item:
File | Size | Format | |
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ntu-105-1.pdf Restricted Access | 1.21 MB | Adobe PDF |
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