CRRA、LA和DA三种效用模型的比较分析——资产配置理论的进化和发展

Comparative Analysis of CRRA, LA and DA Utility Models——Evolution and Development of Asset Allocation Theory

从经典的CRRA效用模型到近期关于LA和DA效用的研究,金融理论在新古典范式的基础上辅助了对行为和心理的分析。本文认为尤其值得指出的是,行为和心理研究带给金融学的新视角不仅从概念上对资产分配决策问题进行了革新,而且还逐渐将人们的行为特征模型化、数学化,这就大大推进了投资者在面临复杂的不确定性时的投资决策问题的研究。本文希望通过对CRRA、LA、DA三种效用模型的比较分析,对“不确定性”下的投资决策问题的研究提供有益的思路。

Along with the development of utility models from classical CRRA utility to LA utility and then to DA utility, financial theory has evolved from neo-classical paradigm to behavioral paradigm. This paper points out that behavioral approach is not only a revolution in concept, but also it integrates human behaviors into mathematical models, which makes studies a great advancement in facing complex uncertainty. By the comparative analysis of three utility models: CRRA, LA and DA, this paper tries to provide a helpful insight into the studies of investment decision problems under uncertainty.