南京大學經濟學院文庫：從資産組閤決策推斷風險規避 下載 mobi epub pdf 電子書 2024

基本信息

書名：南京大學經濟學院文庫：從資産組閤決策推斷風險規避

定價：45.00元

作者：劉德溯

齣版社：南京大學齣版社

齣版日期：2015-08-01

ISBN：9787305157448

字數：

頁碼：129

版次：1

裝幀：平裝

開本：16開

商品重量：0.4kg

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內容提要

《南京大學經濟學院文庫：從資産組閤決策推斷風險規避》主要內容包括章引言。第二章文獻迴顧。第三章關注未被資本化的將來收入，並研究消費的風險規避斜率。第四章研究如何從單一的資産組閤決策推斷投資者財富的風險規避程度。

目錄

Chapter One
Introduction

Chapter Two
Literature Review
2.1 Theoretical Analysis
2.2 Recent Empirical Evidence

Chapter Three
Uncapitalized Future Ine
3.1 Introduction
3.2 A Two—period Model and the MaiFinding
3.3 AInfinite HorizoModel
3.4 Discussion
Appendix

Chapter Four
Inferring Risk AversioUsing One Portfolio Decision
4.1 Introduction
4.2 Inferring Risk Aversioithe Small
4.3 Inferring Risk Aversioithe Large
4.4 Inferring Risk Aversioithe Large Using Functional Formsfor Utility
4.5 Numerical Solutions
4.6 Conclusion

Chapter Five
Reinterpretatioof Recent Empirical Evidence
5.1 Introduction
5.2 Friend and Blume （1975）
5.3 Chiappori and Paiella （2011）
5.4 Brunnermeier and Nagel （2008）
5.5 Summary and Discussion

References
Postscript

作者介紹

劉德溯，南京大學商學院金融與保險學係講師。2011年5月畢業於美國密歇根州立大學經濟係，獲經濟學博士學位。主要研究領域是風險經濟學和保險經濟學。近期研究興趣為老年人健康風險、風險偏好，以及儲蓄和健康投資決策等問題。

文摘

《南京大學經濟學院文庫：從資産組閤決策推斷風險規避》：
　　Iaddition， historical market data of annualized returns othe Standard & Poor 500 Index and othe U.S.treasury bills are borrowed.Using one observed portfolio decision， puted solutions show that picking one of the three functional forms and theinferring relative risk aversioperforms much better thaassuming a quadratic utility or using the F—B ithe small procedure， if the true utility is from the isoelastic risk preferences group.It seems that whethe goal is to estimate risk aversiolevel under regular conditions， choosing a functional form of utility that possesses the property of isoelastic risk preferences （eveif it is wrong） to infer risk aversioithe large prevails over the F—B's methodology of inferring risk aversioithe small without restricting functional forms of utility.
　　Chapter 5 provides a detailed discussioof three published papers： F—B， C—P and B—N.The methodologies used and the empirical evidence presented ithese papers have led to the writing of Chapters 3 and 4.The theoretical findings ithese two chapters are utilized to reinterpret the empirical findings concerning the magnitudes and the slopes of relative risk aversion.There are three tentative conclusions.First， relative risk aversiofor liquid financial wealth is probably constant.
　　……

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