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| 位置-尺度分布族中均值-方差准则与期望效用理论的一致性 | |
| 引用本文： | 马雪雅,文平,齐晓波. 位置-尺度分布族中均值-方差准则与期望效用理论的一致性[J]. 数学的实践与认识, 2009, 39(2) |
| 作者姓名： | 马雪雅 文平 齐晓波 |
| 作者单位： | 1. 新疆昌吉学院,数学系,新疆,昌吉,831100 2. 新疆财经大学,应用数学系,新疆,乌鲁木齐,830012 |
| 基金项目： | 新疆自治区高校科研计划立项重点项目 |
| 摘 要： | 证明了当决策集为位置-尺度分布族时,期望效用理论与均值-方差准则是一致的.从而就可以将马克威茨的均值-方差准则中的正态假设减弱为位置-尺度分布族.这不仅扩大了均值-方差准则的应用范围,而且巩固了组合投资理论与资本资产定价理论的基础. |
| 关 键 词： | 期望效用 随机占优 均值-方差 位置-尺度分布族 |
The Consistency of Expected Utility Theory and Mean-Variance Rule When The Decision Set is Comprising By The Location-Scale Family |
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| MA Xue-ya,WEN Ping,QI Xiao-bo. The Consistency of Expected Utility Theory and Mean-Variance Rule When The Decision Set is Comprising By The Location-Scale Family[J]. Mathematics in Practice and Theory, 2009, 39(2) | |
| Authors: | MA Xue-ya WEN Ping QI Xiao-bo |
| Abstract: | This paper proves that mean-variance rule of Markowitz is consistent with expected utility theory and stochastic dominance when decision set is comprising by the location-scale family,so we can change the normal distribution hypothesis of mean-variance rule to the location-scale family hypothesis.This enlarge the application scope of mean-variance rule of Markowitz. |
| Keywords: | expected utility stochastic dominance mean-variance location-scale family |
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