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Decision-making of portfolio investment with double exponential utility function. (Chinese. English summary) Zbl 1265.91155

Summary: A double exponential utility function is one kind of a risk-averse utility function being classic and comprehensively used by investors. Firstly, the non-difference curve method in investment theory is used to calculate the maximum expected return for investors. Then, the optimal portfolio investment decision-making is derived according to Markowitz’s mean-variance model, and the corresponding investment proportion is given. The optimal portfolio investment decision-making problem with double exponential utility function is solved very well. At last, a numerical example is provided to illustrate the proposed method.

MSC:

91G10 Portfolio theory
91B16 Utility theory
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