摘要
本文提出了一种计算指数效用函数的最小叉熵方法。该方法以Buhlmann的经济均衡模型为基础,根据最小叉熵原理得到风险的均衡价格密度,并将这个密度函数应用到Buhlmann的效用函数理论中,证明了当市场达到均衡状态时的效用函数为指数效用函数。该方法意义明确,形式清晰。
This paper proposes a minimum cross-entropy approach to calculate the exponential utility function. Based on Buhlmann＇ s economic equilibrium model, the equilibrium price density is derived by applying the minimum cross-entropy principle. Then the density function is used in Buhlmann＇ s utility theory, and we prove that the utility function is the exponential utility function when the market arrives at the equilibrium state. This new method has explicit meaning and form.
出处
《运筹与管理》
CSCD
北大核心
2009年第2期120-124,共5页
Operations Research and Management Science
基金
国家自然科学基金资助项目(10572031)
国家自然科学基金重大项目(10590354)
关键词
最小叉熵
叉熵变换
均衡价格密度
效用函数
minimum cross-entropy
cross-entropy transform
equilibrium price density
utility function
