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五参效用函数

Five Parameter Utility Function
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摘要 在Denis(2007)提出的三参效用函数(FTP)的基础上,提出了五参效用函数(FFP).FFP可以描述更广泛的风险厌恶行为,它包含一种典型的双曲绝对风险厌恶效用函数(HARA)的情形,且是FTP的进一步推广. This paper introduces a flexible five parameters utility function(FFP),which can be regarded as a generalization of the flexible three parameters(FTP) utility function of Denis(2007).In comparison with FTP,we can obtain a wider scale of risk aversion behavior.FFP includes the hyperbohc absolute risk aversion(HARA) family and can incorporate subsistence and saturation.Moreover,it is more flexible,as compared to FTP.
作者 霍艳 魏正元 李文 HUO Yan WEI Zheng-yuan LI Wen(Mathematical Sciences School of Xingyi Normal University for Nationalities, Xingyi 562400, China School of Mathematics and Statistics, Chongqing University of Technology, Chongqing, 400054, PR China Hope College of Southwest Jiao Tong University Chengdu 610400, China)
出处 《数学的实践与认识》 北大核心 2016年第20期273-279,共7页 Mathematics in Practice and Theory
基金 重庆市科委自然科学基金(cstc2012jjA00018) 重庆市教委科学技术研究项目(KJ130810) 重庆理工大学研究生教育教学改革研究项目(yjg2015208)
关键词 风险厌恶 FTP FFP risk aversion properties FTP utility function FFP utility function
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参考文献6

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  • 5Saha,Expo-Power Utility:A"Flexible"Form for Absolute and Relative Risk Aversion[J].Economics and Social Sciences.1993,75:905-903.
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