Portfolios based on exponential utility function
Song Li · Journal of Beijing University of Chemical Technology · 2008
An exponential utility function has been devised by making use of the Mean-CVaR model and its efficient frontier.Subsequently,using the principle of maximizing utility,the Mean-CVaR model was converted to a model that can be directly solved by computer in an equity market where shorting sale is prohibited.By applying this exponential utility function,portfolios to suit a variety of different investors can be obtained.