| 基于随机参照点的均值-风险分析 |
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| 引用本文： | 文平,黄薏舟.基于随机参照点的均值-风险分析[J].运筹与管理,2017,26(10):153-156. |
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| 作者姓名： | 文平 黄薏舟 |
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| 作者单位： | 1.常州工学院 数理化工学院,江苏 常州 213022; 2.新疆财经大学 金融学院,新疆 乌鲁木齐 830012; |
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| 基金项目： | 国家自然科学基金资助项目(71261024) |
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| 摘 要： | 本文依据参照依赖偏好模型提出了基于随机参照点的风险度量方法,进而构建了均值-风险模型,并讨论了该决策方法与随机占优之间的一致性。研究发现,该决策方法不仅与一级随机占优是一致的而且与二级随机占优也是一致的。由于二级随机占优与期望效用理论的一致性,因而所构建的均值-风险模型与期望效用理论也是一致的。
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| 关 键 词： | 风险 风险度量 决策 均值-风险分析 随机占优 |
| 收稿时间： | 2016-03-19 |
Mean-risk Analysis Based on Stochastic Reference Point |
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| WEN Ping,HUANG Yi-zhou.Mean-risk Analysis Based on Stochastic Reference Point[J].Operations Research and Management Science,2017,26(10):153-156. |
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| Authors: | WEN Ping HUANG Yi-zhou |
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| Institution: | 1.College of Science, Changzhou Institute of Technology, Changzhou 213022, China; 2.College of Finance, Xinjiang Uinversity of Finance and Economics,Wulumq 830012, China; |
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| Abstract: | This paper proposes a risk measure method based on stochastic reference point according to the reference dependent preference model and the model of mean-risk is constructed. It is found that the decision method is consistent with the first order stochastic dominance and the second order stochastic dominance. Because of the consistency between the second order stochastic dominance and the expected utility theory, the mean-risk model is also consistent with the expected utility theory. |
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| Keywords: | risk risk measure decision making mean-risk analysis stochastic dominance |
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