Linear Tests for Decreasing Absolute Risk Aversion Stochastic Dominance

被引：35

作者：

Post, Thierry ^{[1
]}

Fang, Yi ^{[2
,3
]}

Kopa, Milos ^{[4
]}

机构：

[1] Koc Univ, Grad Sch Business, TR-34450 Istanbul, Turkey

[2] Jilin Univ, Ctr Quantitat Econ, Changchun 130012, Peoples R China

[3] Jilin Univ, Sch Business, Changchun 130012, Peoples R China

[4] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Math Stat, Prague 18675 8, Czech Republic

来源：

MANAGEMENT SCIENCE | 2015年 / 61卷 / 07期

基金：

中国国家自然科学基金;

关键词：

stochastic dominance; utility theory; decreasing absolute risk aversion; linear programming; bootstrapping; market portfolio efficiency; pricing kernel; skewness; RANDOM-VARIABLES; EFFICIENCY; PORTFOLIO; DIVERSIFICATION; VARIANCE; CRITERIA; UTILITY;

D O I：

10.1287/mnsc.2014.1960

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

We develop and implement linear formulations of convex stochastic dominance relations based on decreasing absolute risk aversion (DARA) for discrete and polyhedral choice sets. Our approach is based on a piecewise-exponential representation of utility and a local linear approximation to the exponentiation of log marginal utility. An empirical application to historical stock market data suggests that a passive stock market portfolio is DARA stochastic dominance inefficient relative to concentrated portfolios of small-cap stocks. The mean-variance rule and Nth-order stochastic dominance rules substantially underestimate the degree of market portfolio inefficiency because they do not penalize the unfavorable skewness of diversified portfolios, in violation of DARA.

引用

页码：1615 / 1629

页数：15