基于利率贴现模型的随机占优比较  

Stochastic dominance comparisons based on interest discount model

作　　者：庄玮玮 杜先杨 邱国新 ZHUANG Weiwei;DU Xianyang;QIU Guoxin(School of Management,University of Science and Technology of China,Hefei 230026,China;School of Business,Xinhua University of Anhui,Hefei 230088,China)

机构地区：[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

出　　处：《中国科学院大学学报（中英文）》2024年第4期433-441,共9页Journal of University of Chinese Academy of Sciences

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。

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.

关 键 词：随机占优 超优 利率贴现模型 投资组合 

分 类 号：O211.5[理学—概率论与数理统计]