Decision-making of portfolio investment with linear plus double exponential utility function
RAIRO - Operations Research - Recherche Opérationnelle, Volume 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
Keywords: linear plus double exponential utility function, optimal portfolio, investment decision-making, non-difference curve method
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     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},
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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, Volume 47 (2013) no. 4, pp. 361-370. doi : 10.1051/ro/2013043. http://archive.numdam.org/articles/10.1051/ro/2013043/

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