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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/69755


    Title: 運用統計推論程序測試邊際條件性隨機優勢：檢視台灣股市投資效率性
    Other Titles: Statistical Inference for Marginal Conditional Stochastic Dominance: Determining Portfolios Efficiency in Taiwan Equity Markets.
    Authors: 謝劍平
    Contributors: 財務管理學系
    Keywords: 投資組合效率;股票市場;隨機優勢
    Portfolio efficiency;Stock market;Stochastic dominance
    Date: 1996
    Issue Date: 2014-09-10 17:47:11 (UTC+8)
    Abstract: 本研究主要是衡量當投資組合的市價公布時,則投資組合報酬會產生如何邊際性或條件性變化。由於邊際隨機動態範疇與效用極大化具有很高的一致性,而且邊際隨機動態範疇具有大樣本屬性的特點,因此本研究採用這幾種新發展出的方法進行研究,結果發現在決定台灣股市效率性投資組合時具有顯著的效果,其中本文所使用的經濟及統計方法均相當一般化,免除先對特定的投資者偏好進行估計或投資報酬隨機動態步驟的設定等步驟,此外結果也如預期般地投資組合的效率會受到產業分類、投資選取標準及風險分散方法不同而產生不同的結果,而其中產業別投資組合對於台灣金融市場發展上相關政策的制定應具有相當大的助益,對於風險規避的投資者在做投資組合選擇與績效分析上非常有用。
    A general method for measuring marginal and/or conditional changes in return distributions by portfolios of the market assets is presented. We demonstrate that the marginal stochastic dominance is consistent with utility maximization, and it is very useful in portfolio selection and portfolio performance analysis for risk averse investors. We characterize the large sample properties of the marginal stochastic dominance. Using these newly developed methodologies, we provide useful analytic results for utility maximizing investors in determining efficient portfolios in Taiwan equity markets. The economic and statistical procedures to be applied are quite general in that they require neither the specification of a given preference function of investors nor the stochastic process that generates investment returns. The results are expected to reveal new evidence on the effects of differential efficiency of portfolios among industries, investment selection criteria and diversification methods. Cross industrial comparisons of portfolios are employed that may also prove useful in reviewing and framing national policies with respect to growth and development of Taiwan financial markets.
    Relation: 行政院國家科學委員會
    計畫編號NSC85-2416-H004-020
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

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