三阶随机占优准则在证券选择中的应用

通常可以用分布函数和分住数函数描述随机占优准则,Man-Chung Ng列举的两个例子说明在三阶随机占优条件下用两种方法得到的结论是不一致的,这与Levy的观点相反。该文分别将这两种方法描述的三阶随机占优准则用于上海证券市场的基金选择,发现用两种方法在应用中得到的结论并不总是一致的。由此验证用Levy提出的分位数方法描述的随机占优准则进行实证研究是不正确的,一阶和二阶条件除外。

The Application of Third Degree Stochastic Dominance Rule in A Security Selection

Stochastic dominance rules can be stated in terms of cumulative distributions and distribution quantiles. Two examples given by Man-Chung Ng shows under Third Degree Stochastic Dominance rule their results are different, opposite to Levy' s opinion. In this paper, Third Degree Stochastic Dominance rule stated in two ways is applied to fund selections in Shanghai Security Exchange. By empirical study, we find the two results are not always same. Therefore, we verify it is wrong to do empirical study by Stochastic dominance rules stated in terms of distribution quantiles proposed by Levy, except by First Degree Stochastic Dominance rule and Second Degree Stochastic Dominance rule.