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 ;
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
收藏
页码：199 / 202
页数：4
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