Decision-making of portfolio investment with linear plus double exponential utility function

Abstract

This paper broadens the exponential utility function commonly used by risk-averse investors to the linear plus double exponential utility function, which is applicable in most cases. Thus it is of essential and supreme significance to conduct a research on its optimal investment portfolio in securities investment. This paper, by means of the non-difference curve method, carries out a research into the optimal portfolio decision-making by investors who have this type of utility function. The optimal decision-making and the ratio of optimal portfolio investment are derived. Finally, an actual case is given to verify the relevant results.

Research on portfolio investment of different risk attitude with utility function

“…As shown in Figure 2. Here we take the classic negative exponential utility function as the example [3,4] , and…”