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.
{{custom_sec.title}}
{{custom_sec.title}}
{{custom_sec.content}}
References
［1］ Markowitz H. Portfolio selection［J］. The Journal of Finance, 1952, 7(1): 77-91.
［2］ 李苏. 投资组合及其边界分析［J］. 宁夏大学学报: 自然科学版, 2005, 26（3）
: 233-235.
［3］ Rockfeller R T, Uryasev S. Optimization of Conditional Value-at-Risk［J］. Journal of Risk, 2000, 2(3): 21-24.
［4］ 林旭东, 巩前锦. 正态条件下均值-CVaR有效前沿的研究［J］. 管理科学, 2004, 17（3）: 52-55.
［5］ 周庆健, 吴建民. 负指数效用函数最优组合的两种解法及其一致性［J］. 大连民族学院学报, 2004, 6（1）: 7-10.
{{custom_fnGroup.title_en}}
Footnotes
{{custom_fn.content}}
PDF(899 KB)
