| 对数效用函数的组合投资研究 |
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| 引用本文： | 周庆健,周铁,刘强,张博.对数效用函数的组合投资研究[J].大连民族学院学报,2009,11(3):232-234. |
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| 作者姓名： | 周庆健 周铁 刘强 张博 |
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| 作者单位： | 1. 大连民族学院,理学院,辽宁,大连116605
2. 哈尔滨工业大学,理学院,黑龙江,哈尔滨,150001 |
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| 摘 要： | 研究了在证券组合投资中占重要地位的对数效用函数的组合投资问题。对数效用函数是一类非常典型且被投资者常用的风险厌恶型效用函数。应用无差异曲线法较好地解决了其最优组合投资比例的选择问题，并给出具体实例对文中所得结果加以验证。
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| 关 键 词： | 对数效用函数 最优组合 无差异曲线法 |
Research on Portfolio Investment of logarithm Utility Function |
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| ZHOU Qing-jian,ZHOU Tie,LIU Qiang,ZHANG Bo.Research on Portfolio Investment of logarithm Utility Function[J].Journal of Dalian Nationalities University,2009,11(3):232-234. |
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| Authors: | ZHOU Qing-jian ZHOU Tie LIU Qiang ZHANG Bo |
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| Institution: | ZHOU Qing-jian1,ZHOU Tie1,LIU Qiang1,HAO Xiao-yang2,ZHANG Bo3(1.College of Science,Dalian Nationalities University,Dalian Liaoning 116605,China,2.College of Science,Harbin Institute of Technology,Harbin Heilongjiang 150001,China) |
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| Abstract: | In this paper,we studied the portfolio investment of logarithm utility functions which was important in security portfolio investment.Logarithm utility function is a type of very typical risk-averse utility function used by investors.We used IDCM to calculate the optimal portfolio investment proportion and gave examples to verify the results in the paper. |
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| Keywords: | logarithm utility function portfolio investment indifference curve |
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