具体描述
基本信息
书名：南京大学经济学院文库：从资产组合决策推断风险规避
定价：45.00元
作者：刘德溯
出版社：南京大学出版社
出版日期：2015-08-01
ISBN：9787305157448
字数：
页码：129
版次：1
装帧：平装
开本：16开
商品重量：0.4kg
编辑推荐
内容提要
《南京大学经济学院文库：从资产组合决策推断风险规避》主要内容包括章引言。第二章文献回顾。第三章关注未被资本化的将来收入，并研究消费的风险规避斜率。第四章研究如何从单一的资产组合决策推断投资者财富的风险规避程度。
目录
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
作者介绍
刘德溯，南京大学商学院金融与保险学系讲师。2011年5月毕业于美国密歇根州立大学经济系，获经济学博士学位。主要研究领域是风险经济学和保险经济学。近期研究兴趣为老年人健康风险、风险偏好，以及储蓄和健康投资决策等问题。
文摘
《南京大学经济学院文库：从资产组合决策推断风险规避》：
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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