具有不同效用函数的最优投资组合分析

数学季刊 ›› 2006, Vol. 21 ›› Issue (1): 124-128.

具有不同效用函数的最优投资组合分析

School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China; School of Business Administration, Henan University, Kaifeng 475001, China

收稿日期:2003-10-10 出版日期:2006-03-30 发布日期:2023-12-26
作者简介:YAO Yuan(1975-),female,native of Kaifeng,Henan,a lecturer of Henan University,Ph. D.,engages in financial engineering and investment;SHI Ben-shan(1958-),male,native of Shangqui,Henan,a professor of Southwest Jiaotong University,engages in investment decision and risk management.

Analysis of Optimal Portfolio with Different Utility Function

School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China; School of Business Administration, Henan University, Kaifeng 475001, China

Received:2003-10-10 Online:2006-03-30 Published:2023-12-26
About author:YAO Yuan(1975-),female,native of Kaifeng,Henan,a lecturer of Henan University,Ph. D.,engages in financial engineering and investment;SHI Ben-shan(1958-),male,native of Shangqui,Henan,a professor of Southwest Jiaotong University,engages in investment decision and risk management.

摘要/Abstract

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: expected utility , function;optimization;portfolio;risk , neutral probability

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.

Key words: expected utility , function;optimization;portfolio;risk , neutral probability

中图分类号:

F224

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.

YAO Yuan, SHI Ben-shan . Analysis of Optimal Portfolio with Different Utility Function[J]. Chinese Quarterly Journal of Mathematics, 2006, 21(1): 124-128.

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