风险规避-上海财经大学经济学院.pdfVIP

• AA=RR + – A (w , w ,…, w ) 1 2 n – ((p , p ,…, p )) 1 2 n – g= (p o w ,…, p o w ) 1 1 n n – u(·)u′(w)0 n – EE ((gg )) ∑∑ pp ww i 1 ii ii n – u(g ) ∑ p u(w ) i 1 i i n – u(E(g )) u(∑ p w ) i 1 i i • 4.4 – gg ∈G • u(E(g)) u(g) n n – u((w)):: uu((∑∑ pp ww )) ∑∑ pp uu((ww )) i 1 i i i 1 i i – g= (p o w , p o w ) 1 1 2 2 u((w)) u(w ) 2 u(E(g)) u((g)) u(w ) 1 w1 E(g) w2 w • 4.4 • g ∈G • u(E(g)) =u(g) – uu((ww))uu((∑∑n pp ww )) ∑∑n pp uu((ww )) i 1 i i i 1 i i uu((ww )) u(w) 22 u(E(g))= u(g) u(w ) 1 w1 w2 w • 4.4 • g ∈G • u(E(g)) u(g) n n uu((