Portfolios based on exponential utility function

SONG LiJun;YANG YongYu

Journal of Beijing University of Chemical Technology ›› 2008, Vol. 35 ›› Issue (2) : 110-112.

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Journal of Beijing University of Chemical Technology ›› 2008, Vol. 35 ›› Issue (2) : 110-112.
管理与数理科学

Portfolios based on exponential utility function

  • SONG LiJun;YANG YongYu
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Abstract

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.

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SONG LiJun;YANG YongYu. Portfolios based on exponential utility function[J]. Journal of Beijing University of Chemical Technology, 2008, 35(2): 110-112

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