位置-尺度分布族中均值-方差准则与期望效用理论的一致性  

The Consistency of Expected Utility Theory and Mean-Variance Rule When The Decision Set is Comprising By The Location-Scale Family

作　　者：马雪雅[1] 文平[2] 齐晓波[1] 

机构地区：[1]新疆昌吉学院数学系,薪疆昌吉831100 [2]新疆财经大学应用数学系,新疆乌鲁木齐830012

出　　处：《数学的实践与认识》2009年第2期174-179,共6页Mathematics in Practice and Theory

基　　金：新疆自治区高校科研计划立项重点项目(XJEDU2006I53)

摘　　要：证明了当决策集为位置-尺度分布族时,期望效用理论与均值-方差准则是一致的.从而就可以将马克威茨的均值-方差准则中的正态假设减弱为位置-尺度分布族.这不仅扩大了均值-方差准则的应用范围,而且巩固了组合投资理论与资本资产定价理论的基础.This paper proves that mean-variance rule of Markowitz is consistent with expected utility theory and stochastic dominance when decision set is comprising by the location-scale family, so we can change the normal distribution hypothesis of mean-variance rule to the location-scale family hypothesis. This enlarge the application scope of mean-variance rule of Markowitz.

关 键 词：期望效用 随机占优 均值-方差 位置-尺度分布族 

分 类 号：O211[理学—概率论与数理统计]