含无风险资产时投资组合的效用最大化  

Utility Maximizing of the Portfolio Include a Risk-Free Asset

作　　者：屠新曙[1] 王春峰[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《天津大学学报（自然科学与工程技术版）》2003年第2期243-247,共5页Journal of Tianjin University：Science and Technology

摘　　要：每个投资者都有一条无差异曲线来表示对预期回报率和标准差的偏好.该文研究了含无风险资产时投资组合的效用最大化问题.利用首创的几何方法求出含无风险资产时投资组合的有效前沿(它在标准差 预期回投率空间中是一条直线),而效用最大化的投资组合是无差异曲线(IDC)与有效前沿的切点.利用这一性质,求出了效用最大化的含无风险资产的投资组合.Every investor has his preference degree about return and risk.That is to say,the investing must follow what tradeoff of risk and return constitutes utility.Following classical economic analysis, indifference curves(IDCs)are developed showing the magnitude and the form of the riskreturn tradeoff.In this paper,the utility maximizing of the portfolio include a riskfree asset is studied.First the efficient frontier of the portfolio including a riskfree asset(that is a beeline in riskreturn space)is found out .The optimum portfolio to be selected is one on the efficient frontier that is tangent to the indifference curve that is highest in riskreturn space.Using this character,the optimum portfolio can be found.

关 键 词：无差异曲线 有效前沿 投资组合 效用最大化 

分 类 号：F224[经济管理—国民经济]