搜索结果: 1-6 共查到“货币银行学 Risk Aversion”相关记录6条 . 查询时间(0.066 秒)
华中科技大学投资学课件Chapter5 Risk and Risk Aversion。
Utility Maximization, Risk Aversion, and Stochastic Dominance
Utility maximization, risk aversion, stochastic dominance
2011/7/22
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal pa...
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process
2010/10/19
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of ...
Risk Aversion and Portfolio Selection in a Continuous-Time Model
Risk Aversion Portfolio Selection Continuous-Time Model
2010/12/17
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownia...
Spectral Risk Measures and the Choice of Risk Aversion Function
coherent risk measures spectral risk measures risk aversion functions
2011/3/31
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice...
Mean-Preserving-Spread Risk Aversion and The CAPM
CAPM equilibrium two-fund separation generalized efficient portfolio MPS-risk-aversion
2011/4/6
This paper establishes conditions under which the classical CAPM holds in equilibrium. Our derivation uses simple arguments to clarify and extend results available in the literature. We show that if a...