Geodesic
Decision-making of portfolio investment with linear plus double exponential utility function
RAIRO - Operations Research - Recherche Opérationnelle, Tome 47 (2013) no. 4, pp. 361-370

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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.

DOI : 10.1051/ro/2013043
Classification : 91B28, 90B50
Keywords: linear plus double exponential utility function, optimal portfolio, investment decision-making, non-difference curve method 
@article{RO_2013__47_4_361_0,
     author = {Zhou, Qingjian and Jiao, Jia and Niu, Datian and Yang, Deli},
     title = {Decision-making of portfolio investment with linear plus double exponential utility function},
     journal = {RAIRO - Operations Research - Recherche Op\'erationnelle},
     pages = {361--370},
     publisher = {EDP-Sciences},
     volume = {47},
     number = {4},
     year = {2013},
     doi = {10.1051/ro/2013043},
     mrnumber = {3143758},
     zbl = {1282.91315},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ro/2013043/}
}
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PB  - EDP-Sciences
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%F RO_2013__47_4_361_0
Zhou, Qingjian; Jiao, Jia; Niu, Datian; Yang, Deli. Decision-making of portfolio investment with linear plus double exponential utility function. RAIRO - Operations Research - Recherche Opérationnelle, Tome 47 (2013) no. 4, pp. 361-370. doi: 10.1051/ro/2013043

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