均值—方差效用函数在证券组合投资决策中的应用

Application of Mean-Variance Utility Function under the Portfolio Selection Decision

本文利用均值—方差效用函数,按期望效用最大化准则建立并分析了证券组合投资决策模型。在投资者的效用函数为指数型效用函数时,得到了两基金定理分离权重的计算公式。得出了在均值———方差效用函数条件下期望效用最大化准则与M-V期望收益最大化准则一致的结论。

This paper uses the MeanVariance Utiliy Function to create a portfolio investment selection model and analyze it on the criteria of the maximum expected utility,and then gets the accordant result with the MV criteria and provides the formulae of TwoFund Theorem's fproportions.