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研究生:林谷諺
研究生(外文):Ku-Yen Lin
論文名稱:股票與債券:二階幾乎隨機優越比較與應用補充
論文名稱(外文):Stock vs Bond:Almost Second-order Stochastic Dominance Comparison and its Application Supplement
指導教授:曾郁仁曾郁仁引用關係
口試委員:黃瑞卿王仁宏
口試日期:2016-07-05
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2016
畢業學年度:104
語文別:英文
論文頁數:27
中文關鍵詞:隨機優越
外文關鍵詞:Stochastic DominanceBondStockFirst OrderSecond Order
相關次數:
  • 被引用被引用:1
  • 點閱點閱:251
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  • 收藏至我的研究室書目清單書目收藏:1
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.


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



[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.


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