| 幂效用函数的最优投资组合研究 |
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| 引用本文： | 王茜,武伟伟.幂效用函数的最优投资组合研究[J].数学理论与应用,2010(4):42-44. |
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| 作者姓名： | 王茜 武伟伟 |
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| 作者单位： | 中南大学数学科学与计算技术学院,长沙410083 |
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| 摘 要： | 本文对投资组合中较常用的风险厌恶型的幂效用函数进行研究。应用无差异曲线法求解出这种效用函数的最优投资比例,并对本文所得出的结论进行了实例应用分析。
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| 关 键 词： | 幂效用函数 最优组合 无差异曲线法 |
Research on Portfolio Investment of Power Utility Function |
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| Wang Qian Wu Weiwei.Research on Portfolio Investment of Power Utility Function[J].Mathematical Theory and Applications,2010(4):42-44. |
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| Authors: | Wang Qian Wu Weiwei |
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| Institution: | Wang Qian Wu Weiwei(College of Mathematics,Central South University,Changsha,410083) |
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| Abstract: | In this paper,we studied the portfolio investment of power utility functions which was common in security portfolio investment and the power utility function is a type of very typical risk-averse utility function.We used indifference curve method（IDCM）to calculate the optimal portfolio investment proportion and gave examples to verify the results in the paper. |
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| Keywords: | Power utility function Portfolio investment Indifference curve method |
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