Questions tagged «expected-utility»

1
如何找出正在使用哪种形式的效用函数?
有人可以告诉我如何找出以下最大化问题具有哪种类型的效用函数。这是一个重叠的世代模型。 maxx′x′(Et(Pt+1+δt+1)−(1+rf)Pt)−γ2x′Ωxmaxx′x′(Et(Pt+1+δt+1)−(1+rf)Pt)−γ2x′Ωx\underset{x'}{\max} x'\big(E_t (P_{t+1}+δ_{t+1})-(1+r^f)P_t\big) - \tfrac{\gamma}{2} x'Ωx 其中: x′=x′=x'=股票组合 Et(Pt+1+δt+1)=Et(Pt+1+δt+1)=E_t (P_{t+1}+δ_{t+1}) =预期的未来收益 γ=γ=\gamma = agent i冒险厌恶 Ω=Ω=Ω=协方差矩阵
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