研究生: |
陳帝嘉 Chen, Ti-Chia |
---|---|
論文名稱: |
分位數相依的效用函數和幾乎式勞倫斯優佔在長期的應用 Quantile-Dependent Utility And Almost Lorenz Dominance For The Long Run |
指導教授: |
張焯然
CHANG, JOW-RAN |
口試委員: |
林哲群
LIN, CHE-CHUN 黃瑞卿 HUANG, RUEI-CHING |
學位類別: |
碩士 Master |
系所名稱: |
科技管理學院 - 計量財務金融學系 Department of Quantitative Finance |
論文出版年: | 2018 |
畢業學年度: | 106 |
語文別: | 英文 |
論文頁數: | 29 |
中文關鍵詞: | 隨機優佔 、勞倫斯優佔 、展望理論 |
外文關鍵詞: | stochastic dominance, Lorenz dominance, prospect theory |
相關次數: | 點閱:2 下載:0 |
分享至: |
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
摘要:
我們給一個新的效用函數的定義,叫分位數相依的效用函數,可以用來解釋一些在展望理論中的一些行為,傳統的效用函數並不適用在勞倫斯優佔,但分位數相依的效用函數卻可以。由於分位數相依效用函數的發明,我們將勞倫斯優佔推廣到一階勞倫斯優佔和幾乎式勞倫斯優佔,相較於幾乎式隨機優佔,幾乎式勞倫斯優佔有許多好處。一個長久的辯論有關於"長時間而言究竟股票是否會優於債卷",我們得到了長期而言股票會以一階及二階幾乎勞倫斯優佔債卷的結論。
Abstract:
We give utility function a new definition, called quantile-dependent utility. It can be used to explain some behaviors in the prospect theory. Traditional utility is not applicable to Lorenz dominance but quantlie-dependent utility is applicable. Because of the invention of quantile-dependent utility, we extend Lorenz dominance from second-degree to first-degree, and also extent Lorenz dominance to almost Lorenz dominance. Comparing almost stochastic dominance, there are many advantages in almost Lorenz dominance. The debate of "Is stocks dominate bonds for the long run" cannot be solved by almost stochastic dominance but can be solved by almost Lorenz dominance. We conclude that stocks dominate bonds by first-degree and second degree almost Lorenz dominance for sufficient long run.
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