The Analysis of Robust Dominant Strategy in the Market with Random Interval Payoffs
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 concepts, 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.
文章引用: 王瑾 , 师恪 (2016) 随机区间收益金融市场的无强占优分析。 统计学与应用， 5， 9-18. doi: 10.12677/SA.2016.51002
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