Decision-making of portfolio investment with double exponential utility function
Qingjian Zhou · Dalian Ligong Daxue xuebao · 2011
Double exponential utility function is one kind of risk-averse utility function,being classic and comprehensively used by investors.Firstly,non-difference curve method in investment theory was used to calculate the maximum expected return for investors.Then,the optimal portfolio investment decision-making was derivated according to Markowitz′s mean-variance model,and the corresponding investment proportion was given.The optimal portfolio investment decision-making problem with double exponential utility function was solved very well.At last,a numerical example was provided to illustrate the proposed method.