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在《效用和风险规避》中,我们谈到,对待风险有三种不同的态度:规避风险、爱好风险和风险中立,这是由预期效用函数的不同特性决定的。不过,我们通常假定,绝大多数人或代表性个人是风险规避者,即在既定的风险程度下,预期收益越高,效用水平越高;或者说,在既定的预期收益下,风险越小越好。这并不是一个苛刻的假设。事实上,只要财富给人带来的边际效用是递减的,就能导出人的风险规避心理。现在,我们将在此基础上介绍不确定状况下风险规避者的投资选择与组合规则,其主要理论框架等由美国经济学家、诺贝尔经济学奖获得者马科维茨(Harry Markowitg)在五十年代创建的,其后经过夏普(WilliamSharpe)、林特纳(John Lintner)等人的扩充与发展。
In “Utility and Risk Aversion,” we talk about three different attitudes toward risk management: avoidance risk, hobby risk, and risk neutrality, which are determined by the different properties of the expected utility function. However, we generally assume that the overwhelming majority of individuals or individuals are risk averseers, that is, the expected return is higher and the utility level is higher under a given level of risk, or the risk is lower with a given expected return The better. This is not a harsh assumption. In fact, as long as the marginal utility brought by wealth is diminishing, we can derive the risk aversion of human beings. Now, we will introduce the risk avoidants’ investment options and combination rules based on this. The main theoretical framework will be put forward by the U.S. economist and Nobel laureate Harry Markowitg Founded in the 1950s and later expanded and developed by William Sharpe, John Lintner and others.