期刊文献+

E-V效用函数及沪市风险态度度量 被引量:4

E-V Utility Function and it′s Application in the Shanghai Securities Market
下载PDF
导出
摘要 在指出传统U-R效用函数不足的基础上,研究了基于期望收益和方差的E-V效用函数,提出并证明了E-V效用函数判定风险态度的充要条件.并以E-V效用函数实证研究了上海证券市场的风险态度问题,得出了投资者牛市末期趋于偏好风险和熊市末期趋于规避风险的结论. The article points out the weakness of traditional U-R utility function and studies the E-V utility function which is based on the expected profit and variance. We propose the sufficient and necessary conditions to judge the risk attitude by the E-V utility function and give the proof. In the meantime, it does a demonstrative research on the problem of risk attitude in Shanghai Securities Market through E-V utility function. Finally, we draw the conclusions that the investors intend to take risk at the end of Bull Market and avert risk at the end of Bear Market.
作者 任郑杰 周锋
出处 《河南科学》 2006年第4期600-603,共4页 Henan Science
基金 河南省哲学社会科学规划项目(2002FJJ017)
关键词 E-V效用 风险态度 证券市场 E-V utility function risk attitude securities market
  • 相关文献

参考文献4

二级参考文献2

共引文献6

同被引文献52

  • 1胡茂生,舒宇.低价中标下的投标报价博弈模型研究[J].南方冶金学院学报,2004,25(4):67-69. 被引量:6
  • 2姚颐,刘志远.我国开放式基金赎回行为的实证研究[J].经济科学,2004(5):48-57. 被引量:53
  • 3王美今.我国基金投资者的处置效应——基于交易帐户数据的持续期模型研究[J].中山大学学报(社会科学版),2005,45(6):122-128. 被引量:26
  • 4BERND ROHRMANN.Risk attitude scales:concepts and questionnaires[J].Project Report,2002,30(11):1-21.
  • 5WEBER E U,BLAIS A R,BETZ N E.A domain-specific risk-attitude scale:measuring risk perceptions and risk behaviors[J].Behavioral Decision Making,2002,1(15):263-290.
  • 6DAVID HILLSON,RUTH MURRAY-WEBSTER.Understanding and managing risk attitude[M].Gower Publishing Ltd,2004:1-6.
  • 7ARROW K J.Risk perception in psychology and economics[J].Economic Inquiry,2007,10(1):1-9.
  • 8孙丽娟.风险定量分析[M].北京:北京大学出版社,2011:237-243.
  • 9DILLON J L,SCANDIZZO P L.Risk attitudes of subsistence farmers in Northeast Brazil a sampling approach[J].American Journal of Agricultural Economics,1978,63(3):425-435.
  • 10PENNINGS J M E,SMIDTS A.Assessing the construct validity of risk attitude[J].Management Science,2000,46(10):1337-1348.

引证文献4

二级引证文献8

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部