负指数效用函数最优组合的两种解法及其一致性  

Two Methods of Optimal Portfolio Investment with Negative Exponential Utility Function and their Consistency

作　　者：周庆健[1] 吴建民[2] 

机构地区：[1]大连民族学院应用数理系,辽宁大连116600 [2]中国人民大学统计学系,北京100872

出　　处：《大连民族学院学报》2004年第1期7-10,共4页Journal of Dalian Nationalities University

摘　　要：对投资组合中常用的负指数效用函数进行了研究,分别应用拉氏乘子法和无差异曲线法求解出该效用函数的最优组合投资比例,并验证了两种解法的一致性,即对该效用函数二者得出的解是相同的,并给出具体实例予以说明.The commonly used negative exponential function in investment is studied. Language gene method (LGM) and indifference curve method (IDCM) are used to get its optimal portfolio investment proportion. It is proved that the optimal portfolio investment proportion obtained with the two methods is equal.

关 键 词：负指数效用函数 最优组合 拉氏乘子法 无差异曲线法 

分 类 号：O212.8[理学—概率论与数理统计] F830.8[理学—数学]