T

EU =
t =1

U (Rt )
T

T = Rt t

(E)
(V) levy
markowitz

Markowitz (1959)
f (E,V) = U(E) +0.5 U(E)V (2)
U(R) = log (1+R)
f ( E , V )=log ( 1+ R ) 0.5 V /(1+ E)2

(3)

(2) , E V
1
levy markowitz 2 1
, 149 ,
EU f(E,V) 0.997 U=log(1+r)
2 , 149
EU f(E,V)

0.99

 3 EU f(E,V)

(portfolios)
protfolio
2 , 4 portfolio
3
2 portfolio
, portfolio

f(E,V)

EU

5 56 portfolio
column 2

f(E,V) EU

portfolio
portfolio 5-6

U=e10(1+r )

 1 Levy Markowitz 2

U=e10(1+r )

1
e-10(1+r)



(a)
50-50 5
25 (b) 10
R (a)
50-50 ()
R (b) 10

50-50

100,000
10