E-V Utility Function and Its Application in Shanghai Securities Market

摘要

This article pointed out the weakness of traditional U-R utility function and studied the E-V utility function which is based on the expected profit and variance. It proposed the sufficient and necessary conditions to judge the risk attitude by the E-V utility function and gave out the proof. In the meantime, it conducted a demonstrative research on the problem of risk attitude in Shanghai securities market through E-V utility function. Finally, we drew the conclusions that the investors intend to take risk at the end of bull market and avert risk at the end of bear market.