E-V效用函数及沪市风险态度度量

E-V Utility Function and it′s Application in the Shanghai Securities Market

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.