投资分析中α阶随机占优与对偶随机占优  

A Study on α-SD Criteria and M-R Criteria in Portfolio Analysis

作　　者：刘晓娟[1,2] 

机构地区：[1]上海电力学院数理系,上海200090 [2]东华大学信息科学与技术学院,上海201620

出　　处：《上海电力学院学报》2011年第2期200-203,共4页Journal of Shanghai University of Electric Power

摘　　要：通过研究投资分析中的随机占优与对偶随机占优问题,引入了α阶随机占优和α阶对偶随机占优准则,并利用Von Neumann&Moryenstern效用函数理论和Yarri对偶理论研究了解析性质,提出了随机占优有效及弱有效的方法,最后讨论了随机占优与收益-风险的关系.The α-Stochastic Dominance and dual Stochastic Dominance in the portfolio analysis are studied. The criteria of α-Stochastic Dominance and dual Stochastic Dominance are introduced. With the help of Von Neumann ＆ Moryenstem utility function theory and Yarri dual theory, their analysis properties are studied and the notion of Stochastic Dominance Efficient （ or weakly efficient） is proposed. The relationship between the el-Stochastic Dominance and Mean-Risk is discussed.

关 键 词：投资分析 α阶随机占优 对偶随机占优 随机占优(弱)有效 

分 类 号：O224[理学—运筹学与控制论] F830.59[理学—数学]