| Issue | RAIRO-Oper. Res. Volume47, Number4, September-December 2013 ROADEF 2012 | |
|---|---|---|
| Page(s) | 361 - 370 | |
| DOI | https://doi.org/10.1051/ro/2013043 | |
| Published online | 09 October 2013 | |
Decision-making of portfolio investment with linear plus double exponential utility function∗,∗∗
Qingjian Zhou1,2,Jia Jiao2,Datian Niu2 andDeli Yang1
1 Institute of Systems Engineering, Dalian University of Technology, Dalian 116024, P.R. China
zhouqingjian68@163.com;somdyang@dlut.edu.cn
2 College of Science, Dalian Nationalities University, Dalian 116600, P.R. China
jiaolinrui@yahoo.cn;niudt@dlnu.edu.cn
Received:27 April 2012
Accepted:11 July 2013
This paper broadens the exponential utility function commonly used by risk-averse investors to the linear plus double exponential utility function, which is applicable in most cases. Thus it is of essential and supreme significance to conduct a research on its optimal investment portfolio in securities investment. This paper, by means of the non-difference curve method, carries out a research into the optimal portfolio decision-making by investors who have this type of utility function. The optimal decision-making and the ratio of optimal portfolio investment are derived. Finally, an actual case is given to verify the relevant results.
Mathematics Subject Classification:91B28 / 90B50
Key words:Linear plus double exponential utility function / optimal portfolio / investment decision-making / non-difference curve method
© EDP Sciences, ROADEF, SMAI, 2013
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