从资产组合决策推断风险规避

正版全新

27.23 6.1折 45 全新

仅1件

上海浦东

作者刘德溯著

出版社南京大学出版社

ISBN9787305157448

出版时间2015-08

装帧平装

开本16开

纸张胶版纸

页数128页

定价45元

货号2098028

上书时间2025-10-10

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商品描述: 【书    名】从资产组合决策推断风险规避
【书    号】 9787305157448
【出版社】南京大学出版社
【作    者】刘德溯著
【出版日期】 2015-08-01
【开    本】 16开
【页    码】 128
【定    价】 45.00元

【编辑推荐】
《从资产组合决策推断风险规避(英文版)》由南京大学出版社出版。

【内容简介】
本书内容包括：靠前章引言。第二章文献回顾。第三章关注未被资本化的将来收入，并研究消费的风险规避斜率。第四章研究如何从单一的资产组合决策推断投资者财富的风险规避程度。

【目录】
《南京大学经济学院文库从资产组合决策推断风险规避》目录参见目录图

【文摘】
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            In addition， historical market data of annualized returns on the Standard & Poor 500 Index and on the U.S.treasury bills are borrowed.Using one observed portfolio decision， computed solutions show that picking one of the three functional forms and then inferring relative risk aversion performs much better than assuming a quadratic utility or using the F—B in the small procedure， if the true utility is from the isoelastic risk preferences group.It seems that when the goal is to estimate risk aversion level under regular conditions， choosing a functional form of utility that possesses the property of isoelastic risk preferences （even if it is wrong） to infer risk aversion in the large prevails over the F—B's methodology of inferring risk aversion in the small without restricting functional forms of utility.
Chapter 5 provides a detailed discussion of three published papers： F—B， C—P and B—N.The methodologies used and the empirical evidence presented in these papers have led to the writing of Chapters 3 and 4.The theoretical findings in these two chapters are utilized to reinterpret the empirical findings concerning the magnitudes and the slopes of relative risk aversion.There are three tentative conclusions.First， relative risk aversion for liquid financial wealth is probably constant.