单时期证券市场中对数效用函数的投资组合  

Portfolio Investment of Logarithmic Utility Function in Single Period Stock Market

作　　者：肖翔[1] 许伯生[1] 李路[1] 

机构地区：[1]上海工程技术大学基础教学学院,上海201620

出　　处：《上海工程技术大学学报》2010年第4期324-327,共4页Journal of Shanghai University of Engineering Science

摘　　要：研究了单时期证券市场中基于对数效用函数的投资组合问题.利用风险中性估值法,推导出投资组合问题的最优值.通过实例,利用一阶必要条件和风险中性计算方法求解出最优交易策略,并验证了这两种方法的一致性.Problems of the portfolio investment based on logarithmic utility function in single period stock market were studied.By using the risk-neutral evaluation method the optimal solution of portfolio investment was deduced.Finally,through an example,the first order necessary condition and the risk-neutral computational approach were applied to calculate the optimal trading strategy and the uniformity of the two methods was verified.

关 键 词：对数效用函数 最优投资组合 风险中性计算方法 

分 类 号：F830[经济管理—金融学]