| 负指数效用函数最优组合的两种解法及其一致性 |
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| 引用本文： | 周庆健,吴建民.负指数效用函数最优组合的两种解法及其一致性[J].大连民族学院学报,2004,6(1):7-10. |
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| 作者姓名： | 周庆健 吴建民 |
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| 作者单位： | 大连民族学院,应用数理系,辽宁,大连,116600;中国人民大学,统计学系,北京,100872 |
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| 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.
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| 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 |
| 文章编号： | 1009-315X(2004)01-0007-04 |
Two Methods of Optimal Portfolio Investment with Negative Exponential Utility Function and their Consistency |
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| ZHOU Qing-jian,WU Jian-min.Two Methods of Optimal Portfolio Investment with Negative Exponential Utility Function and their Consistency[J].Journal of Dalian Nationalities University,2004,6(1):7-10. |
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| Authors: | ZHOU Qing-jian WU Jian-min |
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| Institution: | ZHOU Qing-jian1,WU Jian-min2 |
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| Abstract: | 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. |
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| Keywords: | negative exponential function optimal portfolio language gene method indifference curve method |
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