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.

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
Mots clés : 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://www.numdam.org/articles/10.1051/ro/2013043/}
}
TY  - JOUR
AU  - Zhou, Qingjian
AU  - Jiao, Jia
AU  - Niu, Datian
AU  - Yang, Deli
TI  - Decision-making of portfolio investment with linear plus double exponential utility function
JO  - RAIRO - Operations Research - Recherche Opérationnelle
PY  - 2013
SP  - 361
EP  - 370
VL  - 47
IS  - 4
PB  - EDP-Sciences
UR  - http://www.numdam.org/articles/10.1051/ro/2013043/
DO  - 10.1051/ro/2013043
LA  - en
ID  - RO_2013__47_4_361_0
ER  - 
%0 Journal Article
%A Zhou, Qingjian
%A Jiao, Jia
%A Niu, Datian
%A Yang, Deli
%T Decision-making of portfolio investment with linear plus double exponential utility function
%J RAIRO - Operations Research - Recherche Opérationnelle
%D 2013
%P 361-370
%V 47
%N 4
%I EDP-Sciences
%U http://www.numdam.org/articles/10.1051/ro/2013043/
%R 10.1051/ro/2013043
%G en
%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. http://www.numdam.org/articles/10.1051/ro/2013043/

[1] X.H. He and Y. Chen, Utility Function and Economic Agent: An Insight from Financial Economics. The Theory and Practice of Finance and Economics 155 (2008) 1-7.

[2] H. Markowitiz, Portfolio selection. J. Finance 7 (1952) 77-91.

[3] Operational Research, Tsinghua University Press, Beijing (2005).

[4] W.F. Sharpe, G.J. Alexander and J.V. Bailey, Investments, 6th edn. Prentice-Hall International inc. New Jersey (1999).

[5] Z.X. Ye and J.Z. Lin, Mathematic FinanceAsset Pricing and Finance Decision-making Theory. Science Press, Beijing (1998).

[6] Y.T. Zhang, Statistic Analysis of Finance market, Guangxi Normal University Press, Guilin (1998).

[7] Q.J. Zhou, S.Y. Lv and J. Jiao, Decision-making of portfolio investment with double exponential utility function. J. Dalian University of Technology 51 (2011) 766-770. | MR | Zbl

[8] Q.J. Zhou and K.Y. Zhang, Research on Portfolio Investment with Linear plus Exponential Utility Function. Appl. Math. 17 (2004) 53-58.

[9] Q.J. Zhou and J.M. Wu, Two Methods of Optinal Portfolio Investment with Negative Exponential Utility Function and their Consistency. J. Dalian Nationalities University 6 (2004) 7-10.

Cité par Sources :