摘要
本主讨论了投资者效用与投资者的组合投资决策.由于投资者对组合投资方案的选择是以效用最大化为准则,因此,我们首先考察了投资者效用的拟合和期望效用,然后讨论了在允许卖空和不允许卖空的条件下,投资者的最优投资决策方案.
In this paper,the utility and decisions of investor are concerned. Because obtaining maximally expected utility is the purpose of investor who invests portfolio, the utility of investor is fitted with exponential utility function at first;then,the optimal decisions,under the condition of allowing or not allowing short sales,are studied.
出处
《系统工程》
CSCD
1997年第2期46-49,共4页
Systems Engineering
关键词
投资决策
组合投资
证券
utility,short sales,investment decisions
