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具有不同效用函数的最优投资组合分析
引用本文:姚远,史本山.具有不同效用函数的最优投资组合分析[J].数学季刊,2006,21(1):124-128.
作者姓名:姚远  史本山
作者单位:School of Economics and Management,Southwest Jiaotong University,Chengdu 610031,China; School of Business Administration,Henan University,Kaifeng 475001,China
摘    要:The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure (martingale measure) if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.

关 键 词:预期效用函数  最优化  风险不确定概率  概率论

Analysis of Optimal Portfolio with Different Utility Function
YAO Yuan,SHI Ben-shan.Analysis of Optimal Portfolio with Different Utility Function[J].Chinese Quarterly Journal of Mathematics,2006,21(1):124-128.
Authors:YAO Yuan  SHI Ben-shan
Institution:[1]School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China [2]School of Business Administration, Henan University, Kaifeng 475001, China
Abstract:The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure (martingale measure) if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.
Keywords:expected utility function  optimization  portfolio  risk neutral probability
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