E-V utility function and its application in the Shanghai securities market

摘要：

The article points out the weakness of traditional U- R utility function and studies the E-V utility function which is based on the expected profit and variance. We propose the sufficient and necessary conditions to judge the risk attitude by the E-V utility function and give the proof. In the meantime,it does a demonstrative research on the problem of risk attitude in Shanghai Securities Market through E-V utility function. Finally,we draw the conclusions that the investors intend to take risk at the end of Bull Market and avert risk at the end of Bear Market.

关键词： E-V utility function risk attitude securities market

作者: Yang Xue Zhou Feng

作者单位: Institute for Management Science & Engineering,Henan University,Kaifeng,475001,P. R. China Henan Banking Regulatory Bureau,Zhengzhou,450003,P. R. China

会议类型: 国际会议

会议名称: The First International Conference on Management Innovation(ICMI 2007)(管理创新会议)

会议地点: 上海

会议语种:英文

页码: 539-542

在线出版日期: 2007-06-04（万方平台首次上网日期，不代表论文的发表时间）