南京大学经济学院文库 从资产组合决策推断风险规避 英文PDF电子书下载

本专著研究如何从资产组合的观测值推断投资者的风险规避。内容包括五部分。第一章是引言。第二章是文献回顾。第三章关注未被资本化的将来收入，并研究消费的风险规避斜率。第四章研究如何从单一的资产组合决策推断投资者财富的风险规避程度。

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Chapter One Introduction 1

Chapter Two Literature Review 9

2.1 Theoretical Analysis 10

2.2 Recent Empirical Evidence 17

Chapter Three Uncapitalized Future Income 22

3.1 Introduction 22

3.2 A Two-period Model and the Main Finding 34

3.3 An Infinite Horizon Model 43

3.4 Discussion 49

Appendix 51

Chapter Four Inferring Risk Aversion Using One Portfolio Decision 60

4.1 Introduction 60

4.2 Inferring Risk Aversion in the Small 66

4.3 Inferring Risk Aversion in the Large 70

4.4 Inferring Risk Aversion in the Large Using Functional Forms for Utility 76

4.5 Numerical Solutions 83

4.6 Conclusion 88

Chapter Five Reinterpretation of Recent Empirical Evidence 93

5.1 Introduction 93

5.2 Friend and Blume(1975) 99

5.3 Chiappori and Paiella(2011) 105

5.4 Brunnermeier and Nagel(2008) 111

5.5 Summary and Discussion 118

References 121

Postscript 128

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