单时期证券市场中负指数效用函数的消费投资组合  

Consumption-Investment Portfolio of Negative Exponential 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》2011年第2期177-180,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负指数效用函数的消费投资组合问题.利用风险中性估值法,推导出消费投资组合问题的最优消费过程,通过实例,借助最优消费过程求解出对应的最优交易策略.Problems of the consumption-investment portfolio based on negative exponential utility function in single period stock market were studied.By using the risk-neutral evaluation method,the optimal solution of consumption-investment portfolio was deduced,the optimal trading strategy for the optimal consumption process was resolved through an example.

关 键 词：负指数效用函数 风险中性计算方法 最优消费投资组合 

分 类 号：F830[经济管理—金融学]