摘要
在位置-尺度分布族中研究了均值-方差准则与期望效用理论的一致性,特别指出当均值相等时或源的支撑可达到负无穷时,均值-方差准则与期望效用理论是完全一致的,这表明可以用均值-方差准则研究满足条件的经济问题、管理问题.还介绍了均值-方差准则在金融中的一些应用.
This paper discusses the consistency of the expected utility theory with the mean- variance rule in location-scale family, and broadens the application of mean-variance rule from the normal distribution to location-scale family and proves the Mossin theorem by the obtained result. This not only enlarges the application range and can consolidate the foundation of CAPM.
出处
《系统科学与数学》
CSCD
北大核心
2010年第4期541-547,共7页
Journal of Systems Science and Mathematical Sciences
基金
新疆维吾尔自治区高校科研计划立项(重点项目)(XJEDU2006I53)项目资助
关键词
均值-方差准则
期望效用
随机占优
正态分布
Mean-variance rule, expected utility, stochastic dominance, normal distribution.
