Standard Stochastic Dominance
Standard Stochastic Dominance
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DOI：
10.2139/ssrn.2418026
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发表时间：
2014-08
期刊：
影响因子：
--
通讯作者：
T. Post
中科院分区：
文献类型：
--
作者：
T. Post
基于标准风险厌恶理论，提出了一种新的随机优势准则，该准则假设绝对风险厌恶和绝对谨慎度分别递减。为了实现所提出的标准，我们开发了线性系统的最优性条件为一个给定的前景相对于一个离散的或多面体的选择机会，在一个一般的状态空间模型。对历史股市数据的实证应用表明，小输家股票比现有的均值方差（MV）和高阶SD标准更吸引标准风险规避者，因为它们具有上行潜力。根据假设的交易策略和评估范围，标准化会计使这些股票的估计异常回报率相对于MV和高阶SD标准每年增加约50至200个基点。MV切线投资组合的分析表明，MV近似直接效用最大化的机会成本可能是巨大的。
We propose a new Stochastic Dominance (SD) criterion based on standard risk aversion, which assumes decreasing absolute risk aversion and decreasing absolute prudence. To implement the proposed criterion, we develop linear systems of optimality conditions for a given prospect relative to a discrete or polyhedral choice opportunity set in a general state-space model. An empirical application to historical stock market data shows that small-loser stocks are more appealing to standard risk averters than the existing mean-variance (MV) and higher-order SD criteria suggest, due to their upside potential. Depending on the assumed trading strategy and evaluation horizon, accounting for standardness increases the estimated abnormal returns of these stocks by about 50 to 200 basis points per annum relative to MV and higher-order SD criteria. An analysis of the MV tangency portfolio shows that the opportunity cost of the MV approximation to direct utility maximization can be substantial.