| 效用无差别定价与投资者风险态度的数量关系 |
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| 引用本文： | 胡松,杨招军. 效用无差别定价与投资者风险态度的数量关系[J]. 吉首大学学报(自然科学版), 2005, 26(3): 79-82 |
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| 作者姓名： | 胡松 杨招军 |
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| 作者单位： | 湖南大学统计学院,湖南,长沙,410079;湖南大学数学与计量经济学院,湖南,长沙,410082 |
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| 基金项目： | 湖南省自然科学基金资助项目（04JJ3009） |
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| 摘 要： | 利用效用无差别定价原理，基于某一特殊的效用函数，通过建立数学模型和求解模型，得到效用无差别定价，并给出资产定价与投资者风险态度的数量关系.
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| 关 键 词： | 效用无差别定价 风险态度 资产定价 |
| 文章编号： | 1007-2985（2005）03-0079-04 |
| 收稿时间： | 2005-05-10 |
| 修稿时间： | 2005-05-10 |
Quantitative Relation Between Utility Indifference Pricing and the Investor's Risk Attitude |
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| HU Song,YANG Zhao-jun. Quantitative Relation Between Utility Indifference Pricing and the Investor's Risk Attitude[J]. Journal of Jishou University(Natural Science Edition), 2005, 26(3): 79-82 |
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| Authors: | HU Song YANG Zhao-jun |
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| Affiliation: | (1.School of Statistics,Hunan University,Changsha 410079,China;2.School of Mathematics and Econometrics,Hunan University,Changsha 410082,China) |
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| Abstract: | Using the theory of the utility indifference pricing, based on one special utility function, the author obtains the utility indifference pricing via the math model of foundation and solution and presents the quantitative relation between the utility indifference pricing and the risk attitude of the investor. |
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| Keywords: | utility indifference pricing risk attitude asset pricing |
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