| 基于投资者风险态度的资产定价方法 |
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| 引用本文： | HUANG Bo,黄波,顾孟迪,李湛. 基于投资者风险态度的资产定价方法[J]. 哈尔滨工业大学学报, 2009, 41(4): 284-285 |
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| 作者姓名： | HUANG Bo 黄波 顾孟迪 李湛 |
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| 作者单位： | 上海交通大学,管理学院,上海,200052;上海立信会计学院,上海,210620;上海交通大学,管理学院,上海,200052 |
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| 基金项目： | 上海市教委高水平特色发展项目，上海市优秀青年项目 |
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| 摘 要： | 单期内资产的收益分布具有"有偏、肥尾"等特征;与之对应,代表性投资者对于表征资产收益分布的各阶矩具有不同的风险偏好.结合反映代表性投资者对于上侧风险和下侧风险不同偏好的反"S"型效用函数与单期资产收益分布的上述特征,给出了相应的资产定价公式.
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| 关 键 词： | 代表性投资者 双侧风险 风险态度 资产定价 |
Asset pricing methods based on risk attitude of investors |
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| HUANG Bo. Asset pricing methods based on risk attitude of investors[J]. Journal of Harbin Institute of Technology, 2009, 41(4): 284-285 |
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| Authors: | HUANG Bo |
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| Affiliation: | 1(1.School of Management,Shanghai Jiaotong University,Shanghai 200052,China;2.School of Finance,Shanghai Lixin University of Commerce,Shanghai 201620,China) |
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| Abstract: | The distribution of asset’s return in one period is characterized by skewness and fat tail and investors have different risk preferences to moments with different orders.A kind of utility function with reverse "S" shape is put forward,which reflects the investors’ different attitudes to upside and downside risks,and the corresponding asset pricing formulas are given. |
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| Keywords: | representative investors bilateral risk risk attitude asset pricing |
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