摘要
对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 ,我们导出了使市场出清的均衡价格向量存在唯一的条件及其计算公式 ,并简要讨论了所给条件的经济意义 .所得结果推广了有关资产市场均衡分析的某些结果 .
For the asset market with finite number of investors whose utility functions are general concave functions,through considering the expected utility maximization problem under the assumption that the joint distribution of risky assets' returns is an elliptical distribution,we derive the condition for the existence and uniqueness of an equilibrium price vector that clear the asset market with short-selling.An explicit formula for the equilibrium price is given.We also briefly discuss the economic implication of the given condition.The obtained results extend some results about the asset market's equilibrium analysis.
出处
《应用数学》
CSCD
北大核心
2003年第1期103-108,共6页
Mathematica Applicata
基金
ThisresearchwaspartiallysupportedbytheNaturalScienceFoundationofShanxiProvince(2 0 0 1SL0 9)
关键词
存在性
唯一性
均衡价格
资本市场
效用函数
椭圆分布
最优证券组合
经济解释
Equilibrium prices
The asset market
Utility functions
The elliptical distribution
The optimal portfolio
Economic implication
