均值-方差准则及其应用

文平

系统科学与数学 ›› 2010, Vol. 30 ›› Issue (4) : 541-547.

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PDF(390 KB)
系统科学与数学 ›› 2010, Vol. 30 ›› Issue (4) : 541-547. DOI: 10.12341/jssms08970
论文

均值-方差准则及其应用

    文平
作者信息 +

Mean-Variance Rule and Its Application

    WEN Ping
Author information +
文章历史 +

摘要

在位置-尺度分布族中研究了均值-方差准则与期望效用理论的一致性,特别指出当均值相等时或源的支撑可达到负无穷时,均值-方差准则与期望效用理论是完全一致的, 这表明可以用均值-方差准则研究满足条件的经济问题、管理问题. 还介绍了均值-方差准则在金融中的一些应用.

Abstract

This paper discusses the consistency of the expected utility theory with the mean-variance rule in location-scale family, and broadens the application of mean-variance rule from the normal distribution to location-scale family and proves the Mossin theorem by the obtained result. This not only enlarges the application range and can consolidate the foundation of CAPM.

关键词

均值-方差准则 / 期望效用 / 随机占优 / 正态分布.

Key words

Mean-variance rule / expected utility / stochastic dominance / normal distribution.

引用本文

导出引用
文平. 均值-方差准则及其应用. 系统科学与数学, 2010, 30(4): 541-547. https://doi.org/10.12341/jssms08970
WEN Ping. Mean-Variance Rule and Its Application. Journal of Systems Science and Mathematical Sciences, 2010, 30(4): 541-547 https://doi.org/10.12341/jssms08970
中图分类号: 91B30   
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