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investment decision-making

RAIRO - Operations Research (1)

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Decision-making of portfolio investment with linear plus double exponential utility function ∗∗∗
Qingjian Zhou, Jia Jiao, Datian Niu, Deli Yang
Journal:

RAIRO - Operations Research / Volume 47 / Issue 4 / September 2013

Published online by Cambridge University Press:

09 October 2013, pp. 361-370

Print publication:

September 2013
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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.