The synergy effect of stochastic dominance and value-at-risk

計畫名稱:The synergy effect of stochastic dominance and value-at-risk

所屬單位:國企所

研究團隊:洪茂蔚研究團隊

計畫主持人:洪茂蔚

研究人員:林鴻文

資源需求:Matlab

使用期間:2013/05~

研究主題:
The synergy effect of stochastic dominance and value-at-risk

研究內容概述:
The article provides special criterion to choose a group of superior corporations and points out a link between Stochastic Dominance (SD) and Excess Return (ER). The criterion includes dual assessing: loss risk and profitability. In practice, our criterion can capture the advantages of Value at Risk (VaR) and SD respectively. This choice rule is called ‘SD-VaR criterion’ and a corporation is pointed out by this criterion will not have extreme risk or profit. These corporations also have the excess returns and persistency of its good status.

All of SD empirical studies on the literatures have a difficult on a large number of computing. It is a reason to lead to a few papers operates and compares overall SD relationship for all corporations in the twentieth century. Due to SD has no completeness and cannot sort all corporations, and the first step we find the SD relationships between one and remain other and more than 5000 corporations. This step needs to calculate more than 5000 probability density functions (PDFs) and cumulative density functions (CDFs) for all corporations and there are more than 20 domains for a function. The next step will repeat more than 5000 runs the SD comparison on the first step. That is enormous amount of computation and therefore we code them using MATLAB and resolve the problem on the stochastic dominance works.

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