基于利率贴现模型的随机占优比较

doi:10.7523/j.ucas.2022.086

中国科学院大学学报 ›› 2024, Vol. 41 ›› Issue (4): 433-441.DOI: 10.7523/j.ucas.2022.086

• 数学与物理学 •

基于利率贴现模型的随机占优比较

庄玮玮¹, 杜先杨¹, 邱国新²

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

收稿日期:2022-07-22 修回日期:2022-11-14 发布日期:2023-03-15
通讯作者: 邱国新,E-mail:qiugx02@ustc.edu.cn
基金资助:
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

Stochastic dominance comparisons based on interest discount model

ZHUANG Weiwei¹, DU Xianyang¹, QIU Guoxin²

1. School of Management, University of Science and Technology of China, Hefei 230026, China;
2. School of Business, Xinhua University of Anhui, Hefei 230088, China

Received:2022-07-22 Revised:2022-11-14 Published:2023-03-15

摘要/Abstract

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。

关键词: 随机占优, 超优, 利率贴现模型, 投资组合

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.

Key words: stochastic dominance, majorization, interest discount model, portfolios

中图分类号:

O211.5

庄玮玮, 杜先杨, 邱国新. 基于利率贴现模型的随机占优比较[J]. 中国科学院大学学报, 2024, 41(4): 433-441.

ZHUANG Weiwei, DU Xianyang, QIU Guoxin. Stochastic dominance comparisons based on interest discount model[J]. Journal of University of Chinese Academy of Sciences, 2024, 41(4): 433-441.

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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

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