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基于利率贴现模型的随机占优比较OA北大核心CSTPCD

Stochastic dominance comparisons based on interest discount model

中文摘要英文摘要

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.

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.

庄玮玮;杜先杨;邱国新

中国科学技术大学管理学院,合肥 230026安徽新华学院商学院,合肥 230088

数学

随机占优超优利率贴现模型投资组合

stochastic dominancemajorizationinterest discount modelportfolios

《中国科学院大学学报》 2024 (004)

433-441 / 9

国家自然科学基金(71971204,71871208,11701518)和安徽省自然科学基金(1908085MG236,2208085J43)资助

10.7523/j.ucas.2022.086

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