市场均衡隐含风险厌恶和效用

Microeconomics: Information Pub Date : 2009-09-08 DOI:10.2139/ssrn.1470421

Stylianos Paganopoulos

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引用次数: 0

摘要

以效用函数的一个流行版本作为起点，我们得到了市场均衡投资组合所隐含的风险规避参数的值，即具有最大夏普比率的均值-方差有效投资组合。此外，我们还得到了市场均衡组合的效用值。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Market Equilibrium Implied Risk Aversion and Utility

Using as a starting point a popular version of the utility function, we obtain a value for the risk aversion parameter as implied by the market equilibrium portfolio, that is, the mean-variance efficient portfolio with the maximum Sharpe ratio. Moreover, we obtain a value for the utility of the market equilibrium portfolio.

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Microeconomics: Information

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