两类随机控制风险秩序的等价性分析

EQUIVALENCE ANALYSIS OF TWO STOCHASTIC DOMINANCE RISK ORDERS

本文首先对比分析了两类风险秩序:随机控制秩序与对偶随机控制秩序.得到并证明了下述命题:(1)效用自由秩序等价于随机控制秩序;(2)畸变自由秩序等价于对偶随机控制秩序;(3)第一、第二阶随机控制秩序等价于第一、第二阶的对偶随机控制秩序,但对高于三阶的情况由实例说明不一定成立.

In this paper, two classes of risk order,i, e. ,stochastic dominance order and dual stochastic dominance order, are comparatively analysed and got the proof of following propositions ： （1） utility - free order equivalent to stochastic dominance order; （2）distortion- free order equivalent to dual stochastic dominance order, （3）the first and second stochastic dominance order equivalent to that of dual stochastic dominance order,but it is not true for higher order than the third.