效用无差别定价与投资者风险态度的数量关系

journal6 ›› 2005, Vol. 26 ›› Issue (3): 79-82.

效用无差别定价与投资者风险态度的数量关系

(1.湖南大学统计学院，湖南长沙 410079；2.湖南大学数学与计量经济学院，湖南长沙 410082）

出版日期:2005-07-15 发布日期:2012-09-22
作者简介:胡松(1977-)，男，湖南省常德市人，湖南大学统计学院硕士生，主要从事金融数学研究；杨招军(1964-)，男，湖南省邵阳市人，博士，湖南大学数学与计量经济学院教授，主要从事金融数学研究.
基金资助:
湖南省自然科学基金资助项目(04JJ3009)

Quantitative Relation Between Utility Indifference Pricing and the Investor’s Risk Attitude

(1.School of Statistics,Hunan University,Changsha 410079,China;2.School of Mathematics and Econometrics,Hunan University,Changsha 410082,China)

Online:2005-07-15 Published:2012-09-22

摘要/Abstract

摘要：利用效用无差别定价原理，基于某一特殊的效用函数，通过建立数学模型和求解模型，得到效用无差别定价，并给出资产定价与投资者风险态度的数量关系.

关键词： 效用无差别定价, 风险态度, 资产定价

Abstract: Using the theory of the utility indifference pricing,based on one special utility function,the author obtains the utility indifference pricing via the math model of foundation and solution and presents the quantitative relation between the utility indifference pricing and the risk attitude of the investor.

Key words: utility indifference pricing, risk attitude, asset pricing

胡松, 杨招军. 效用无差别定价与投资者风险态度的数量关系[J]. journal6, 2005, 26(3): 79-82.

HU Song, YANG Zhao-Jun. Quantitative Relation Between Utility Indifference Pricing and the Investor’s Risk Attitude[J]. journal6, 2005, 26(3): 79-82.