摘要
在Markowitz均值—方差模型的基础上,利用期望效用函数,对理性投资者因承担高风险而获得的超额收益作了定量分析,给出了风险补偿及风险补偿系数的定义和有关解析式,并由此得到效用函数的负指数形式.
On the base of Markowitz＇s M - V model, using expected utility function, this paper provides quantitative analysis on risk - averse investor＇ s extra profit respond of high financial risk, introduces the definition of risk premium and coefficient of risk premium and their thnction formula. Aud forthmore, utility function on negative exponent is obtained.
出处
《湘潭大学自然科学学报》
CAS
CSCD
北大核心
2005年第3期24-27,共4页
Natural Science Journal of Xiangtan University
