AI 中文总结
本文针对长期投资前景排序提出新的渐近分数阶随机优势规则，阐述有负下界相对风险厌恶决策者共识，在对数正态收益假设下建等价条件，还提出变体并推导特征，克服现有准则缺点，实证显示其在资产选择中的优势。
AI 中文摘要
本文提出了一种新的渐近分数阶随机优势规则，用于在足够长的投资期限内对前景进行排序。新规则阐述了相对风险厌恶有负下界的决策者的共识。在收益服从对数正态分布的假设下，我们建立了该规则的等价条件，且不对对数收益均值施加非负性约束，这是现有渐近随机优势规则通常要求的限制。此外，为提高这种渐近分数阶随机优势的可处理性，我们在决策者边际效用的附加条件下提出了一种有界相对风险厌恶的渐近分数阶随机优势变体，即一般渐近分数阶随机优势，并推导了其相应的等价分布特征。具有有界相对风险厌恶的（一般）渐近分数阶随机优势克服了现有渐近分数阶准则中分数阶参数对等价分布条件无影响的缺点。实证例子进一步展示了新提出的规则在长期投资决策资产选择中的优势。
英文摘要
In this paper, we propose a novel asymptotic fractional-order stochastic dominance rule for ranking prospects over a sufficiently long investment horizon. The new rule formulates the consensus of decision makers whose relative risk aversion has a negative lower bound. Under the assumption that returns are lognormally distributed, we establish equivalent conditions for the proposed rule without imposing the non-negativity constraint on the mean of log-return, a restriction usually required by the existing asymptotic stochastic dominance rules. Furthermore, to enhance the tractability of this asymptotic fractional-order stochastic dominance, we propose a variant of asymptotic fractional-order stochastic dominance with bounded relative risk aversion, referred to as general asymptotic fractional-order stochastic dominance, under an additional condition on decision makers' marginal utilities. We derive its corresponding equivalent distributional characterizations. The (general) asymptotic fractional-order stochastic dominance with bounded relative risk aversion overcomes the shortcomings of the existing asymptotic fractional-order criterion that the fractional-order parameter has no influence on the equivalent distributional conditions. Empirical examples further show the advantages of the newly proposed rules for asset selection in long-term investment decisions.
Comments26 pages
