# Decision-making of portfolio investment with linear plus double exponential utility function

Qingjian Zhou; Jia Jiao; Datian Niu; Deli Yang

RAIRO - Operations Research - Recherche Opérationnelle (2013)

- Volume: 47, Issue: 4, page 361-370
- ISSN: 0399-0559

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topZhou, Qingjian, et al. "Decision-making of portfolio investment with linear plus double exponential utility function." RAIRO - Operations Research - Recherche Opérationnelle 47.4 (2013): 361-370. <http://eudml.org/doc/275049>.

@article{Zhou2013,

abstract = {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.},

author = {Zhou, Qingjian, Jiao, Jia, Niu, Datian, Yang, Deli},

journal = {RAIRO - Operations Research - Recherche Opérationnelle},

keywords = {linear plus double exponential utility function; optimal portfolio; investment decision-making; non-difference curve method},

language = {eng},

number = {4},

pages = {361-370},

publisher = {EDP-Sciences},

title = {Decision-making of portfolio investment with linear plus double exponential utility function},

url = {http://eudml.org/doc/275049},

volume = {47},

year = {2013},

}

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

PB - EDP-Sciences

VL - 47

IS - 4

SP - 361

EP - 370

AB - 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.

LA - eng

KW - linear plus double exponential utility function; optimal portfolio; investment decision-making; non-difference curve method

UR - http://eudml.org/doc/275049

ER -

## References

top- [1] X.H. He and Y. Chen, Utility Function and Economic Agent: An Insight from Financial Economics. The Theory and Practice of Finance and Economics155 (2008) 1–7.
- [2] H. Markowitiz, Portfolio selection. J. Finance7 (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).
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- [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 Technology51 (2011) 766–770. Zbl1265.91155MR2896571
- [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 University6 (2004) 7–10.

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