Volume 47, Number 4, September-December 2013ROADEF 2012
|Page(s)||361 - 370|
|Published online||09 October 2013|
Decision-making of portfolio investment with linear plus double exponential utility function∗,∗∗
Institute of Systems Engineering, Dalian University of Technology,
2 College of Science, Dalian Nationalities University, Dalian 116600, P.R. China
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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