Ordering Uncertain Options under Inflation: A Note
证明，在不确定且独立的通胀下，含无风险资产的随机占优规则仍然有效，同时指出均值方差有效集随通胀扩大而随机占优有效集缩小。
Stochastic dominance rules (SD) have been extended to the case where investors are allowed to borrow and lend at the riskless interest rate. Stochastic dominance rules with a riskless asset (SDR) are much more effective than SD rules. However, it seems that this benefit is eliminated by an uncertain inflation, since riskless assets become risky once uncertain inflation is considered. We prove in this paper that SDR criteria are valid also in the face of uncertain (and independent) inflation. Moreover, while the mean-variance (MV) efficient set increases with uncertain inflation, the stochastic dominance efficient sets decrease.