关于投资期货策略的一些问题

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

two other approaches are considered in this paper: the first is stochastic dominance, which is based on a comparison of the complete empirical distributions of returns and the second is based on the traditional Treynor (1965) measure but uses a modified beta as proposed by Leland (1999). This modified beta stems from the intertemporal asset pricing model of Rubinstein (1976) which assumes that investors have power utility functions (i.e., they consider moments of higher order, not only mean and variance)

摘自Isakov, D. and B. Morard (2001) Improving Portfolio Performance with Option Strategies.

想问一下，谁能帮我详细解释一下，为什么在分析股票期货的return distribution时要引入stochastic dominance 和 modified beta 两种方法，两种方法的长处和短处又有什么？

另外还想问一下(i.e., they consider moments of higher order, not only mean and variance)中的moments of higher order具体是指什么？有学金融或者期货的能帮忙详细解答一下吗？越详细越好，谢谢！！

详细的文章内容我已上传在附件里面

 

317201.pdf (368.67 KB)

2009-4-20 03:49:00 上传

关于投资期货策略的一些问题

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：distribution Traditional performance Stochastic Strategies 投资 期货