M-V证券组合投资决策的风险厌恶模型

A Risk Aversion Model for Decision of M-V Portfolio Investment

引入风险厌恶函数作为投资者对风险厌恶程度的一个度量标准,建立了含该函数的非线性证券组合投资决策模型,求解该模型便得到给定风险厌恶函数下的最佳证券组合,简化了证券组合选择过程.文中给出了该模型的解析解,并通过数值例子检验了该模型的解.结果表明,该模型所确定的最佳证券组合为M-V有效证券组合.

In this paper,a new concept,risk ave rsion function,is first introduced as a measure of risk aversion and used to build a new n onlinear optimal model for M-V portfolio selection.Optimal portfolio is obtained by solving this model that simplifies the p ortfolio selection.The analytic solution of the model is giv en and tested by a numerical example.The results show that optimal portfolio determined by thi s model is M-V efficient portfolio.