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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 曾郁仁 | |
dc.contributor.author | Ku-Yen Lin | en |
dc.contributor.author | 林谷諺 | zh_TW |
dc.date.accessioned | 2021-06-08T01:52:05Z | - |
dc.date.copyright | 2016-07-26 | |
dc.date.issued | 2016 | |
dc.date.submitted | 2016-07-22 | |
dc.identifier.citation | [1] Bali, T. G., Demirtas, K. O., Levy, H., & Wolf, A. (2009). Bonds versus stocks: Investors’ age and risk taking. Journal of Monetary Economics, 56(6), 817-830.
[2] Fienga, A., Fukushima, T., Teyssandier, P., Müller, J., Wex, N., Ciufolini, I., . . . Kopeikin, S. M. (2014). Applications and Experiments (Vol. 22): Walter de Gruyter GmbH & Co KG. [3] Hanoch, G., & Levy, H. (1969). The efficiency analysis of choices involving risk. The Review of Economic Studies, 36(3), 335-346. [4] Latané, H. A. (1959). Rational Decision‐Making In Portfolio Management. The journal of finance, 14(3), 429-430. [5] Leshno, M., & Levy, H. (2002). Preferred by “all” and preferred by “most” decision makers: Almost stochastic dominance. management Science, 48(8), 1074-1085. [6] Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91. [7] Markowitz, H. (1976). Investment for the long run: New evidence for an old rule. The journal of finance, 31(5), 1273-1286. [8] Rothschild, M., & Stiglitz, J. E. (1970). Increasing risk: I. A definition. Journal of Economic theory, 2(3), 225-243. [9] Tsetlin, I., Winkler, R. L., Huang, R. J., & Tzeng, L. Y. (2015). Generalized almost stochastic dominance. Operations Research, 63(2), 363-377. [10] Tzeng, L. Y., Huang, R. J., & Shih, P.-T. (2013). Revisiting almost second-degree stochastic dominance. management Science, 59(5), 1250-1254. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/19286 | - |
dc.description.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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T01:52:05Z (GMT). No. of bitstreams: 1 ntu-105-R03723059-1.pdf: 1241482 bytes, checksum: ec967c2a36b28d0d4437c8614cd175ab (MD5) Previous issue date: 2016 | en |
dc.description.tableofcontents | 誌謝 i
ABSTRACT ii CONTENTS iii LIST OF FIGURES v LIST OF TABLES vi Chapter 1 Introduction 1 Chapter 2 Decision Rules 3 2.1 Almost Stochastic Domince 3 2.1.1 Almost First-order Stochastic Domiance 4 2.1.2 Almost Second-order Stochastic Domince. 5 2.1.3 Generalized Almost Second-order Stochastic Domince. 6 2.2 Data 7 Chapter 3 Empirical Result 12 3.1 Result for AFSD 12 3.1.1 Short term period 12 3.1.2 Long term period – 5 Years and above 14 3.2 Result For ASSD 15 3.2.1 Short term period 15 3.2.2 Long term period – 5 Year and above 17 3.3 Result For GASSD 18 Chapter 4 Industry Discussion 20 4.1 Result for Industry Comparison in AFSD 20 4.2 Result for Industry Comparison in ASSD 23 4.3 Result for Industry Comparison in GASSD 24 Chapter 5 Conclusion and Further Discussion 25 REFERENCE 27 | |
dc.language.iso | en | |
dc.title | 股票與債券:二階幾乎隨機優越比較與應用補充 | zh_TW |
dc.title | Stock vs Bond:Almost Second-order Stochastic Dominance Comparison and its Application Supplement | en |
dc.type | Thesis | |
dc.date.schoolyear | 104-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 黃瑞卿,王仁宏 | |
dc.subject.keyword | 隨機優越, | zh_TW |
dc.subject.keyword | Stochastic Dominance,Bond,Stock,First Order,Second Order, | en |
dc.relation.page | 27 | |
dc.identifier.doi | 10.6342/NTU201601189 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2016-07-22 | |
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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