跨期的预防性努力投资决策研究-基于约束的Ross更加风险厌恶的刻画

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跨期的预防性努力投资决策研究-基于约束的Ross更加风险厌恶的刻画田有功¹, 柳江²1. 兰州财经大学信息工程学院, 甘肃省电子商务技术与应用重点实验室, 兰州 730020;
2. 兰州财经大学经济学院, 兰州 730020 Intertemporal Investment Decisions on Precautionary Effort Based on Characterization of Restricted Ross More Risk Aversion TIAN Yougong¹, LIU Jiang²1. School of Information and Engineering, Key Laboratory of E-Business Technology and Application, Gansu Province Lanzhou University of Finance and Economics, Lanzhou 730020, China;
2. School of Economics, Lanzhou University of Finance and Economics, Lanzhou 730020, China

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摘要在跨期的预防性努力投资决策问题中，一个Ross更加风险厌恶的个体未必会投资更多的预防性努力.为了解决这种不一致性，本文基于约束的Ross更加风险厌恶的刻画，获得了与个体风险偏好相一致的比较静态结果：当现在1单位财富的预防性努力投资致使个体将来的财富均值增加额的现值不超过1时，那么一个线性约束的Ross更加风险厌恶的个体总是投资更多的预防性努力；除此之外，当损失发生的初始概率小于1/2且个体现在的消费水平至少不小于其将来的最小财富均值时，那么一个二次函数约束的Ross更加风险厌恶的个体总是投资更多的预防性努力.

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收稿日期: 2020-09-18

PACS:	60E15
	62P05
	91B06
	91B30

基金资助:国家自然科学基金地区项目（72061020），甘肃省高等学校创新基金项目（2020B-138），兰州财经大学重点项目（Lzufe2019B-007）以及兰州财经大学科研创新团队支持计划资助项目.

引用本文:

田有功, 柳江. 跨期的预防性努力投资决策研究-基于约束的Ross更加风险厌恶的刻画[J]. 应用数学学报, 2021, 44(2): 188-196. TIAN Yougong, LIU Jiang. Intertemporal Investment Decisions on Precautionary Effort Based on Characterization of Restricted Ross More Risk Aversion. Acta Mathematicae Applicatae Sinica, 2021, 44(2): 188-196.

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[1]	田有功, 马润平. 约束的Ross更加风险厌恶刻画下的预防性努力投资决策[J]. 应用数学学报, 2018, 41(5): 689-697.

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