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基于利率贴现模型的随机占优比较
Stochastic dominance comparisons based on interest discount model
【摘要】 建立单笔投资的利率贴现模型按照一阶随机占优序、二阶随机占优序以及风险偏好型随机占优序递减的充分条件。若组合系数按超优序递减,投资组合情况下的利率贴现模型按照二阶随机占优序、风险偏好型随机占优序递减的充分条件也做了分析。
【Abstract】 The sufficient conditions for interest discount models increasing in the sense of the first-order stochastic dominance, the second-order stochastic dominance, and the risk-loving stochastic dominance were first given in this paper. We also obtained the sufficient conditions for weighted interest discount models increasing in the sense of the second-order stochastic dominance, and the risk-loving stochastic dominance when the weights decrease in the sense of the majorization order.
【关键词】 随机占优;
超优;
利率贴现模型;
投资组合;
【Key words】 stochastic dominance; majorization; interest discount model; portfolios;
【Key words】 stochastic dominance; majorization; interest discount model; portfolios;
【基金】 国家自然科学基金(71971204,71871208,11701518);安徽省自然科学基金(1908085MG236,2208085J43)资助
- 【文献出处】 中国科学院大学学报(中英文) ,Journal of University of Chinese Academy of Sciences , 编辑部邮箱 ,2024年04期
- 【分类号】F830.9;F224
- 【下载频次】18