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发帖数: 224 | 2 ☆─────────────────────────────────────☆
fyyzy (雪的童话) 于 (Tue May 8 01:59:45 2007) 提到:
两个 assets, risk free 资产的return R＞0 和一个risky asset Z (其return 是
state－contingent，只有两个equally likely states),riskly asset Z return 分别
是A， B， 满足A＞R＞B，只有一个investor with strictly increasing and risk
averse utility function U（.），她可以买risky和riskless资产，w是weight on
risky asset。
Fix B，consider a new asset with the same distribtution of returns as Z
except that A increases. Does the new asset distribution necessarily |
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