本文已被：浏览 1149次 下载 660次
投稿时间：2009-11-10
投稿时间：2009-11-10
中文摘要: 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。
Abstract:The α-S tochastic 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 V on Neum ann & Moryenstern 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 bewteen the α-Stochastic Dominance and Mean-Risk is discussed.
keywords: portfolio analysis α-stochastic dominance dual stochastic dominance stochastic dominance(weakly)efficient
文章编号：20110223 中图分类号： 文献标志码：
基金项目:
引用文本：
刘晓娟.投资分析中α阶随机占优与对偶随机占优[J].上海电力大学学报,2011,27(2):200-203.
LIU Xiaojuan.A Study on -SD Criteria and M-R Criteria in Portfolio Analysis[J].Journal of Shanghai University of Electric Power,2011,27(2):200-203.
刘晓娟.投资分析中α阶随机占优与对偶随机占优[J].上海电力大学学报,2011,27(2):200-203.
LIU Xiaojuan.A Study on -SD Criteria and M-R Criteria in Portfolio Analysis[J].Journal of Shanghai University of Electric Power,2011,27(2):200-203.