Estimating Risk Preferences for Most Investors
學年 107
學期 1
發表日期 2018-08-05
作品名稱 Estimating Risk Preferences for Most Investors
作品名稱（其他語言）
著者 Rachel, R. Huang; Kili C. Wang
作品所屬單位
出版者
會議名稱 American Risk and Insurance Association2018 Annual Meeting
會議地點 Chicago, USA
摘要 This paper adopts individual portfolio choice data to estimate the preference parameters in almost stochastic dominance (ASD). ASD is a decision criterion for most decision makers to rank distributions on the basis of riskiness. Existing empirical studies have shown that ASD is helpful in explaining some puzzles in …nance and could be applied to evaluate investment strategies. Their conclusions heavily rely on the estimation of the preference parameters in the ASD rules provided by Levy et al. (2010). However, the estimation of Levy et al. (2010) is obtained from arti…cial tasks designed in a lab- oratory by using students as subjects and adopts an incorrect condition for the almost second-degree stochastic dominance. Our paper is the …rst to use empirical observations in portfolio choice decisions and to adopt the correct conditions to estimate the pref- erence parameters in ASD. Our estimation shows that these preference parameters are much lower than the numbers in Levy et al. (2010). Since these parameters serve as upper bounds to obtain the unambiguous prediction on the ranking of distributions, our …ndings suggest the needs of re-examination on the existing empirical conclusions.
關鍵字 Almost stochastic dominance; portfolio selection; bootstrapping estimation;
語言 en_US
收錄於
會議性質 國際
校內研討會地點 無
研討會時間 20180805~20180808
通訊作者
國別 USA
公開徵稿
出版型式
出處 American Risk and Insurance Association2018 Annual Meeting
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/116198 )

SDGS 產業創新與基礎設施,減少不平等,和平正義與有力的制度