随机区间收益金融市场的无强占优分析.pdf

Statistics and Application 统计学与应用, 2016, 5(1), 9-18 Published Online March 2016 in Hans. /journal/sa /10.12677/sa.2016.51002 The Analysis of Robust Dominant Strategy in the Market with Random Interval Payoffs Jin Wang1*, Ke Shi2# College of Mathematics and System Sciences, Xinjiang University, Urumqi Xinjiang th th nd Received: Feb. 9 , 2016; accepted: Feb. 28 , 2016; published: Mar. 2 , 2016 Copyright © 2016 by authors and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Abstract In this article, a new financial market model, in which all securities have random interval pay- offs, is proposed. In the market, the probability space from finite dimensional expands general probability space. Some concepts, such as robust dominant strategy and linear pricing measures, are given and discussed parallel to those in traditional market analysis. With these new con- cepts, it is discussed that the requirement of no robust dominant strategy is equivalent to the existence of linear pricing measures and the relations between the analysis of the no robust dominant strategy in the market with random interval payoffs and it’s in traditional market. This conclusion includes the traditional random market analysis conclusions, extending to this new financial market. Keywords Random Interval, Robust Dominant Strategy, Linear Pricing Measures 随机区间收益金融市场的无强占优分析 1* 2# 王 瑾 ，师 恪 新疆大学，数学与系统科学学院，新疆 乌鲁木齐 收稿日期：2016年2月9 日；录用日期：2016年2月28 日；发布日期：2016年3月2 日 *第一作者。 #通讯作者。 文章引用: 王瑾, 师恪. 随机区间收益金融市