Scholarlink

<p>We highlight the loss aversion property of the general investors and propose a new ranking criterion, conditional stochastic dominance (CSD). We also introduce an example to show that CSD provides an intuitive ranking, but the almost stochastic dominance (ASD) by Lashon and Levy (2002) cannot. Furthermore, we select six representative covered call strategy indexes, and the Standard &amp; Poor’s 500 aggregate market index functions as the benchmark for empirical analysis. The estimation outcomes indicate that CSD outperforms ASD in providing a refined depiction of the performance comparisons and showing the specific properties of covered call strategy indexes.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Conditional stochastic dominance

  • 期刊论文

  • 发表日期：

    2026年1月19日

查看全文
  • Wei-Han Liu,
  • Jow-Ran Chang

摘要

We highlight the loss aversion property of the general investors and propose a new ranking criterion, conditional stochastic dominance (CSD). We also introduce an example to show that CSD provides an intuitive ranking, but the almost stochastic dominance (ASD) by Lashon and Levy (2002) cannot. Furthermore, we select six representative covered call strategy indexes, and the Standard & Poor’s 500 aggregate market index functions as the benchmark for empirical analysis. The estimation outcomes indicate that CSD outperforms ASD in providing a refined depiction of the performance comparisons and showing the specific properties of covered call strategy indexes.