证券投资的风险偏好与期望效用决策模型

本文把期望效用理论用于投资决策分析，按实际风险偏好的系统分类构造模型，据此证明决策人效用函数必为线性函数和指数函数；前者对应风险中立，后者对应风险厌恶和风险追求；函数参数的不同取值，唯一确定了各类风险偏好的性质和程度。由此产生的分析方法和模型，可同时适用于正态或非正态收益分布的证券组合，为投资价值的评估提供有效而实用的程序。

Risk Preference of Securities Investment and Decision Model of Expectation Utility

This paper uses the expectation utility theory for decision analysis of investment securities, and constructs a model of risk preference by systematization of practical decision behavior. Utility functions, which have been strictly used for investment decision, are the linear and exponential functions. The former corresponds with risk neutral and the latter with risk aversion and seeking. Value of parameters determines uniquely on property and degree of varying risk preferences. Our methods and models can provide an efficient and applicable procedure to be used in determining values of securities portfolio no matter whether they are normal or abnormal random variables.