Stochastic dominance comparisons based on interest discount model

doi:10.7523/j.ucas.2022.086

Abstract

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

CLC Number:

O211.5

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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