A Risk Aversion Model for Decision of M-V Portfolio Investment
Hou Wei-bo · Journal of Huaibei Industry Teachers College · 2003
In this paper,a new concept,risk ave rsion function,is first introduced as a measure of risk aversion and used to build a new n onlinear optimal model for M-V portfolio selection.Optimal portfolio is obtained by solving this model that simplifies the p ortfolio selection.The analytic solution of the model is giv en and tested by a numerical example.The results show that optimal portfolio determined by thi s model is M-V efficient portfolio.