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以無母數方法探討最佳投資消費問題中風險厭惡參數和總體經濟環境間的關係 =...

國立高雄大學統計學研究所

以無母數方法探討最佳投資消費問題中風險厭惡參數和總體經濟環境間的關係 = Establishing the Relationship of Risk Aversion Parameters and Economy States in a Consumption Portfolio Problem through a Nonparametric Method

Record Type:	Language materials, printed : monographic
Paralel Title:	Establishing the Relationship of Risk Aversion Parameters and Economy States in a Consumption Portfolio Problem through a Nonparametric Method
Author:	江盈慧,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	民99[2010]
Description:	68面圖，表 : 30公分;
Subject:	效用函數
Subject:	Utility function
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/87449334303872315033
Summary:	以往利用效用函數探討最佳投資和消費選擇問題的文獻，大多是固定風險厭惡係數。實際上，投資人對於風險的厭惡程度，應該是會隨著景氣的變動而有所改變。近年來，業界開始關注投資人厭惡風險的程度與市場波動的關連之相關議題。例如Virginie Coudert及Mathieu Gex於2007年的文獻即是在探討金融風暴發生前，風險厭惡係數是否會上升，並且是否能用來預測即將發生的金融風暴。在本篇論文中，我們首先探討不同景氣下的最佳投資及消費決策為何，接著說明在不同參數下，最佳投資及消費決策會有何影響。最後我們會說明隨著景氣變動，風險厭惡係數會如何隨之變化。 In previous studies, the topic for the optimal portfolio and consumption choice using a utility function was based on the fixed risk aversion coefficient. In practice, an investor’s risk-averse level should change following the economic state, instead of a fixed risk-averse level. In recent years, more and more commercial organizations star to concern about the issue for the relationship between the investors’ aversion to risk and market volatility. For example, Virginie Coudert and Mathieu Gex(2007) concerned about whether risk aversion coefficient rose before the financial crises and whether they were able to forecast crises.In this paper, we concern the optimal portfolio and consumption choice problem with different economic states at the first stage and then establish the relationship between optimal portfolio consumption choice and different parameters. Finally, we will establish the relationship between the risk aversion coefficient and economic states.

以無母數方法探討最佳投資消費問題中風險厭惡參數和總體經濟環境間的關係 = Establishing the Relationship of Risk Aversion Parameters and Economy States in a Consumption Portfolio Problem through a Nonparametric Method
江, 盈慧

以無母數方法探討最佳投資消費問題中風險厭惡參數和總體經濟環境間的關係 = Establishing the Relationship of Risk Aversion Parameters and Economy States in a Consumption Portfolio Problem through a Nonparametric Method / 江盈慧撰 - [高雄市] : 撰者, 民99[2010]. - 68面 ; 圖，表 ; 30公分.
參考書目：面.
效用函數Utility function

以無母數方法探討最佳投資消費問題中風險厭惡參數和總體經濟環境間的關係 = Establishing the Relationship of Risk Aversion Parameters and Economy States in a Consumption Portfolio Problem through a Nonparametric Method
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330 $a 以往利用效用函數探討最佳投資和消費選擇問題的文獻，大多是固定風險厭惡係數。實際上，投資人對於風險的厭惡程度，應該是會隨著景氣的變動而有所改變。近年來，業界開始關注投資人厭惡風險的程度與市場波動的關連之相關議題。例如Virginie Coudert及Mathieu Gex於2007年的文獻即是在探討金融風暴發生前，風險厭惡係數是否會上升，並且是否能用來預測即將發生的金融風暴。在本篇論文中，我們首先探討不同景氣下的最佳投資及消費決策為何，接著說明在不同參數下，最佳投資及消費決策會有何影響。最後我們會說明隨著景氣變動，風險厭惡係數會如何隨之變化。 In previous studies, the topic for the optimal portfolio and consumption choice using a utility function was based on the fixed risk aversion coefficient. In practice, an investor’s risk-averse level should change following the economic state, instead of a fixed risk-averse level. In recent years, more and more commercial organizations star to concern about the issue for the relationship between the investors’ aversion to risk and market volatility. For example, Virginie Coudert and Mathieu Gex(2007) concerned about whether risk aversion coefficient rose before the financial crises and whether they were able to forecast crises.In this paper, we concern the optimal portfolio and consumption choice problem with different economic states at the first stage and then establish the relationship between optimal portfolio consumption choice and different parameters. Finally, we will establish the relationship between the risk aversion coefficient and economic states.
510 1 $a Establishing the Relationship of Risk Aversion Parameters and Economy States in a Consumption Portfolio Problem through a Nonparametric Method
610 0 $a 效用函數 $a 常數的相對風險厭惡程度 $a 風險厭惡係數
610 1 $a Utility function $a Constant relative risk aversion $a Risk aversion coefficient
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