MEAN-VARIANCE PREFERENCES AND THE HEAT-EQUATION

被引：2

作者：

BARDSLEY, P

机构：

[1] Department of Economics, La Trobe University, Bundoora, 3083, Victoria

来源：

THEORY AND DECISION | 1993年 / 35卷 / 02期

关键词：

D O I：

10.1007/BF01074959

中图分类号：

F [经济];

学科分类号：

02 [经济学];

摘要：

Chipman (1979) proves that for an expected utility maximizer choosing from a domain of normal distributions with mean mu and variance sigma2 the induced preference function V(mu, sigma) satisfies a differential equation known as the heat equation. The purpose of this note is to provide a generalization and simple proof of this result which does not depend on the normality assumption.

引用

页码：199 / 202

页数：4

共 6 条

[1]

GLOBAL MEASURES OF RISK-AVERSION [J].