关清元, 王炳兴, 王佳, 丁腾芸. 异质组合的线性积聚量递增序列比较[J]. 应用概率统计, 2022, 38(5): 765-779. DOI: 10.3969/j.issn.1001-4268.2022.05.009
引用本文: 关清元, 王炳兴, 王佳, 丁腾芸. 异质组合的线性积聚量递增序列比较[J]. 应用概率统计, 2022, 38(5): 765-779. DOI: 10.3969/j.issn.1001-4268.2022.05.009
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GUAN Qingyuan, WANG Bingxing, WANG Jia, DING Tengyun. On Increasing Ordering Comparison of Linear Aggregation with Heterogeneous Portfolios[J]. Chinese Journal of Applied Probability and Statistics, 2022, 38(5): 765-779. DOI: 10.3969/j.issn.1001-4268.2022.05.009
Citation: GUAN Qingyuan, WANG Bingxing, WANG Jia, DING Tengyun. On Increasing Ordering Comparison of Linear Aggregation with Heterogeneous Portfolios[J]. Chinese Journal of Applied Probability and Statistics, 2022, 38(5): 765-779. DOI: 10.3969/j.issn.1001-4268.2022.05.009
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异质组合的线性积聚量递增序列比较

On Increasing Ordering Comparison of Linear Aggregation with Heterogeneous Portfolios

    摘要
  • 摘要: 本文研究了两组异质组合的线性积聚量的序列特性.在增凸序或者增凹序意义上, 提供了充要条件以得到线性积聚量的比较结果. 此处获得的部分结果加强并推广了一些已知的结果. 一个数值例子验证了理论的结果.

     

    Abstract: This paper studies the ordering properties of the linear aggregation arising from two sets of heterogeneous portfolios. The sufficient conditions are provided in the sense of the increasing convex concave order to compare the linear aggregation amounts. The results obtained here strengthen and generalize some known results. A numerical example is given to verify the theoretical results.

     

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