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数学与物理学

基于利率贴现模型的随机占优比较

  • 庄玮玮 ,
  • 杜先杨 ,
  • 邱国新
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  • 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

  网络出版日期: 2022-11-14

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 Weiwei ,
  • DU Xianyang ,
  • QIU Guoxin
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  • 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 date: 2022-07-22

  Revised date: 2022-11-14

  Online published: 2022-11-14

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。

本文引用格式

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 . DOI: 10.7523/j.ucas.2022.086

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.

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