|
|||||
|
|
| 投资模型中关于收益率的强偏差定理 | |
| 引用本文： | 李文汉,刘志强,孙红岩.投资模型中关于收益率的强偏差定理[J].河北工业大学学报,2012,41(2):23-26. |
| 作者姓名： | 李文汉 刘志强 孙红岩 |
| 作者单位： | 1. 石家庄经济学院 数理学院,河北石家庄,050031 2. 北京建筑工程学院 理学院,北京,100044 3. 白求恩军医学院基础部,河北石家庄,050081 |
| 基金项目： | 国家自然科学基金，河北省教育厅科研项目 |
| 摘 要： | 利用似然比的概念,结合上鞅的性质,研究了投资者关于收益率向量的估计分布和真实分布之间偏差的一些极限性质,得到了不等式表示的有关收益率一类强偏差定理.证明过程中给出了将条件矩母函数方法应用于研究收益率偏差的一种途径. |
| 关 键 词： | 收益率 条件矩母函数 上鞅 强偏差定理 |
Some strong deviation theorems of return rate in investment modeling |
|
| LI Wen-han , LIU Zhi-qiang , SUN Hong-yan.Some strong deviation theorems of return rate in investment modeling[J].Journal of Hebei University of Technology,2012,41(2):23-26. | |
| Authors: | LI Wen-han LIU Zhi-qiang SUN Hong-yan |
| Affiliation: | 1.College of Mathematics and Physics,Shijiazhuang University of Economics,Hebei Shijiazhuang 050031,China;2.Science College,Beijing University of Civil Engineering and Architecture,Beijing 100044,China;3.Department of basic,Bethune Military Medical College,Hebei Shijiazhuang 050021,China) |
| Abstract: | In virtue of the notion of likelihood ratio,a class of strong deviation theorems which represented by inequalities are obtained when there are deviations between the estimated and the real distributions of the return rate by property of submartingale.In the proof,an approach of applying the conditional moment generating function to the deviations of return rate is proposed. |
| Keywords: | return rate conditional moment generating function submartingale strong deviation theorems |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |