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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On Increasing Ordering Comparison of Linear Aggregation with Heterogeneous Portfolios

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  • 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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