摘要
对投资方案的选择上以效用最大化为前提 ,假设投资者具有指数效用函数 ,讨论了在允许卖空和不允许卖空两种情况下 ,最优组合投资方案的选择问题 .通过具体的算例演示了选择过程 ,同时比较分析了两种结果 .
Obtaining maximum expected utility is the premise of optimal potfolio investment scheme.In this paper,suppose that investors utility function is exponential curve,the problem of selecting optimal protfolio investment is discussed under the condition of allowing or not allowing short selling,and a specific example is given.
出处
《西北纺织工学院学报》
1999年第4期377-381, ,共5页
Journal of Northwest Institute of Textile Science and Technology
基金
国家自然科学基金资助项目! (79670 0 67)
