當決策者面臨策略選擇時，會牽涉到許多考量的因素。隨機優越方法給予了和傳統方式不一樣的觀點，而其嚴格的限制條件在實證上較難有發揮的空間。幾乎隨機優越方法針對此項因素作了一定程度上的調整，同樣證時存在多數決策者的效用函數會以優勢方為策略選擇。但經過我們研究發現，隨機優越方法的判定會與常理有所出入。基於此情形，我們提出了較符合財務運用上的條件隨機優越方法，並以探討掩護性買權策略為例，實證結果條件隨機優越方法的判定結果更貼近多數決策者的選擇。

When decision makers are faced with strategies, there are many factors involved. The Stochastic Dominance gives different viewpoints to the traditional ways, but the applications are subject to its strict rules. As a result,Almost Stochastic Dominance improves the efficiency of judgement, which is able to reveal most investor’s preference. However, our study points out that there is some incorrect result when using ASD rule to define the dominant strategy. In this paper, we establish Conditional Stochastic Dominance (CSD) rule which is more consistent to the financial behavior, and apply CSD rule to analyze the CBOE Buy-Write strategies.

目 錄


摘要 i
Abstract ii
誌謝 iii
圖表索引 v

第1章、緒論 1
1.1研究動機： 1
1.2研究目的： 1

第2章、文獻探討 3

第3章、研究方法 5
3.1 隨機優越 (Stochastic Dominance) 5
3.1.1 一階隨機優越 (First order Stochastic Dominance) 5
3.1.2 二階隨機優越 (Second order Stochastic Dominance) 7
3.2 幾乎隨機優越 (Almost Stochastic Dominance) 9
3.2.1 一階幾乎隨機優越 (Almost First order Stochastic Dominance) 9
3.2.2 二階幾乎隨機優越 (Almost Second order Stochastic Dominance) 11
3.3 條件隨機優越 (Conditional Stochastic Dominance) 13
3.3.1 一階條件隨機優越 (Conditional First order Stochastic Dominance) 14
3.3.2 二階條件隨機優越 (Conditional Second order Stochastic Dominance) 16
3.4 方法總結 19

第4章、研究分析 21
4.1 為什麼不採用mean-variance方法 21
4.2 在Black Scholes模型下以隨機優越分析掩護性買權 22
4.2.1 以隨機優越方法分析 22
4.2.2 以幾乎隨機優越方法分析 26
4.2.3 以條件隨機優越方法分析 27
4.3 以CBOE對S&P 500 index編輯指數為例 30

第5章、結論 33

參考文獻 34

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