A New Portfolio Model Based on Investment Index RNand Risk Index I

摘要：

This paper made a new portfolio model named RN&I Portfolio Model that based on the investment index RN and the risk index I. RN&I Portfolio Model characterizes the behavior of investment decision and elucidates the optimum portfolio mechanism. We firstly applied the arc tangent function to characterize investors’ risk feeling about the risk exposure, and united the risk with utility which made RN&I portfolio model with some good properties. Different from the Markowitz Mean-Variance model, RN&I Portfolio Model is a new method to solve the optimum portfolio problem under subjective probability measures.

关键词： investment index RN risk index I RN&I portfolio model optimum portfolio

作者: 张昇平 吴冲锋

作者单位: 上海交通大学金融工程研究中心上海200052

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:英文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）