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主讲人 |
O-Chia Chuang |
简介 |
<p> </p>
<div style="font-size: 14px; line-height: 23.7999992370605px;">Abstract:</div>
<div style="font-size: 14px; line-height: 23.7999992370605px;">In this paper we propose a method to calculate the risk measures proposed by Aumann</div>
<div style="font-size: 14px; line-height: 23.7999992370605px;">and Serrano (2008) and Huang, Tzeng, and Wang (2012), where the former is related to</div>
<div style="font-size: 14px; line-height: 23.7999992370605px;">stochastic dominance, and the latter hinges on central dominance. This method enables us to utilize the information about mean, variance, skewness, and kurtosis of a distribution. We demonstrate the risk measure of Huang et al. (2012) provides sufficient information for the investment decision of all constant absolute risk averse investors in the traditional portfolio selection model. A trading strategy is then constructed with respect to this measure. Our empirical results show that this trading strategy outperforms buy-and-hold trading strategy during sample period from January 2001 to October 2009, and conclude that information of higher order moments are valuable for invest decisions.</div>
<div> </div> |
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主讲人简介 |
<p>Assistant professor in thedepartment of Mathematical Economics and Mathematical Finance, Economics and Management school,</p>
<p>Wuhan University </p>
<h5 style="color: rgb(22, 35, 58); margin: 5px 0px; padding: 10px 0px;">
<div><a href="http://ochiachuang.yolasite.com/">Prof. O-Chia Chuang' CV</a></div>
</h5> |
期数 |
厦门大学高级计量经济学与统计学系列讲座2014秋季学期第八讲（总第51讲） |
