Zhou, Qingjian; Lü, Siyao; Jiao, Jia; Zhao, Jian; Wei, Lianxin; Yan, Bo Decision-making of portfolio investment with double exponential utility function. (Chinese. English summary) Zbl 1265.91155 J. Dalian Univ. Technol. 51, No. 5, 766-770 (2011). 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 Keywords:double exponential utility function; investment decision-making; optimal portfolio; non-difference curve method PDFBibTeX XMLCite \textit{Q. Zhou} et al., J. Dalian Univ. Technol. 51, No. 5, 766--770 (2011; Zbl 1265.91155)