摘要
本文通过考察投资者效用函数的高阶微分将Arrow—Pratt绝对风险厌恶函数进行了推广,引进了高阶风险厌恶的概念,从而更加全面地分析投资者对待风险的态度.
This paper analysises the high order derivativers of investor's utility function. It generalizes the Arrow - Pratt absolute risk aversion to high order risk aversion. So we can explove an investor's attitude toward risk move coveniently and throughty
出处
《系统工程》
CSCD
1997年第1期37-42,共6页
Systems Engineering
关键词
公平博弈
风险厌恶
风险溢价
投资者
Fair game, Expected marginal utility, High order risk aversion. High order risk premium
