摘要
对仅有风险资产且有有限多个其效用函数为一般凹函数的投资者参与的资本市场,在假设风险资产收益的联合分布为椭圆分布之下,通过考虑期望效用最大化问题,导出了市场出清条件下均衡价格向量存在的条件。所得结果推广了有关资本市场均衡分析的工作。
For the capital market with finite number of investors whose utility functions are general concave functions, the condition for the existence of an equilibrium price vector that clear the market without a riskless asset was derived. Based on considering the expected utility maximization problem under the assumption that the joint distribution of risky assets is an elliptical distribution.The obtained results extend the study on the asset market's equilibrium analysis.
出处
《南京理工大学学报》
EI
CAS
CSCD
北大核心
2003年第z1期11-15,共5页
Journal of Nanjing University of Science and Technology
基金
南京理工大学科研发展基金资助项目(AB96042)
关键词
椭圆分布
均衡价格
效用函数
最优证券组合
elliptical distribution,equilibrium prices,utility functions,optimal portfolio
