论文标题
在多元化的随机模型上
On a Stochastic Model of Diversification
论文作者
论文摘要
我们建议将多元化定义为金融投资组合之间的二进制关系。根据它，与具有相同权重的相同风险位置的概率混合物相比，几个风险位置具有一些风险位置的凸线性组合被认为具有较小的风险。事实证明，提议的部分订购与众所周知的二阶随机支配相吻合，但可以从另一个角度看待它。
We propose a definition of diversification as a binary relationship between financial portfolios. According to it, a convex linear combination of several risk positions with some weights is considered to be less risky than the probabilistic mixture of the same risk positions with the same weights. It turns out to be that the proposed partial ordering coincides with the well-known second order stochastic dominance, but allows to take a look at it from another perspective.
