AMSDP

Compute the utility function x %*% mp - gamma^theta * (t(x) %*% Cov %*% x)^(0.5 * theta) / theta for a portfolio x.

Some tools for developing general equilibrium models and some general equilibrium models. These models can be used for teaching economic theory and are built by the methods of new structural economics (see <https://www.nse.pku.edu.cn/> and LI Wu, 2019, ISBN: 9787521804225, General Equilibrium and Structural Dynamics: Perspectives of New Structural Economics. Beijing: Economic Science Press). The model form and mathematical methods can be traced back to J. von Neumann (1945, A Model of General Economic Equilibrium. The Review of Economic Studies, 13. pp. 1-9), J. G. Kemeny, O. Morgenstern and G. L. Thompson (1956, A Generalization of the von Neumann Model of an Expanding Economy, Econometrica, 24, pp. 115-135) et al. By the way, J. G. Kemeny is a co-inventor of the computer language BASIC.

LI Wu

General Equilibrium Modeling

AMSDP function

<dl><dt>x</dt>
<dd>a numeric n-vector representing a portfolio.</dd>
<dt>mp</dt>
<dd>a numeric n-vector representing the mean payoff of each of the n securities.</dd>
<dt>Cov</dt>
<dd>the n-by-n covariance matrix of the payoff vectors of n securities.</dd>
<dt>gamma</dt>
<dd>the risk aversion coefficient.</dd>
<dt>theta</dt>
<dd>a non-negative scalar with a default value of 1.</dd></dl>

Arguments

Additive-Mean-Standard-Deviation Portfolio Utility Function — AMSDP

<dl>

<dt>x</dt>
<dd>a numeric n-vector representing a portfolio.</dd>


<dt>mp</dt>
<dd>a numeric n-vector representing the mean payoff of each of the n securities.</dd>


<dt>Cov</dt>
<dd>the n-by-n covariance matrix of the payoff vectors of n securities.</dd>


<dt>gamma</dt>
<dd>the risk aversion coefficient.</dd>


<dt>theta</dt>
<dd>a non-negative scalar with a default value of 1.</dd>

</dl>

AMSDP: Additive-Mean-Standard-Deviation Portfolio Utility Function

Description

Usage

Arguments

References

See Also