基于效用函数的投资组合  

Portfolios based on exponential utility function

作　　者：宋立军[1] 杨永愉[1] 

机构地区：[1]北京化工大学理学院,北京100029

出　　处：《北京化工大学学报（自然科学版）》2008年第2期110-112,共3页Journal of Beijing University of Chemical Technology(Natural Science Edition)

摘　　要：本文旨在解决当证券市场不允许卖空时,'均值-CVaR'模型的求解问题。若风险资产收益率服从正态分布,则在效用最大化原则下的'均值-方差'模型的两种解法是一致的。并且可以证明'均值-CVaR'模型的有效前沿是'均值-方差'模型有效前沿的一部分。从而用'均值-方差'模型的有效前沿表示出'均值-CVaR'模型的有效前沿,使其直接可以用计算机来求解。并且因为效用函数的引入,因此可以求得满足不同风险偏好投资者的资产配置。An exponential utility function has been devised by making use of the Mean-CVaR model and its efficient frontier. Subsequently, using the principle of maximizing utility, the Mean-CVaR model was converted to a model that can be directly solved by computer in an equity market where shorting sale is prohibited. By applying this exponential utility function, portfolios to suit a variety of different investors can be obtained.

关 键 词：CVAR 有效前沿 指数效用函数 资产组合 

分 类 号：F830.9[经济管理—金融学]